The cup holders exited the event on Saturday following second half-strikes from Ashley Hartog, Clifford Mulenga and Mabhudi Khenyeza at Orlando Stadium.
Pirates had Benni McCarthy sent off just before the break after the veteran striker tangled with Matsatsantsa winger Franklin Cale.
And Palacios hinted that his team were the victim of poor refereeing by Robert Smith.
"I think the reflection of the game is not the score," Palacios said.
"I don't want to talk about referees, but one person can change the whole game. But it's part of football.
"The only thing is we need to do is go back.
"We will continue working hard. But human beings can sometimes destroy clubs and today(Saturday) it happened with us."