Former United winger Anthony Elanga struck the winner as Forest triumphed 1-0 at the City Ground.
Amorim later said: "I think we controlled the game. We already knew that this team (Forest) can score goals out of nothing. Then when they scored, we changed the game a little bit for what they want. Then we tried sometimes with the good opportunities but I think in the last cross, the last pass, the last assist (it) wasn't there.
"When we don't have that we cannot score goals. But we have some situations and this season is like that. We try it. We have a lot of shots on goal. We push the opponent to the last third. But in the end we had a lack of quality in the final third.
"But I think we get in the game. We were okay in the game, controlling the game and then one transition from our set-pieces (changes the game).
"We cannot suffer this kind of goal. We already knew that, Nottingham (Forest) can score from through (balls) and wins from second balls, then we suffer a goal and then it is harder to win against this team."
Amorim also said: "Yeah, it was always frustrating when you don't win. Especially when, I think if you look at the game, we deserve more than (to) lose the game. So that is more frustrating than when you see that the opponent is better than us. It was not the case today. So it's really frustrating."
Amorim was asked about throwing Harry Maguire into the attack and whether that was a sign of United's strikers again falling short.
He insisted, "If you look at the game, especially in the final 15 minutes, they were defending the box with six men. So we need more men inside the box. We cannot get inside the box with combinations.
"And then Harry Maguire is really strong on set-pieces in the opposite box. And when you are playing in the opposite box, you are a striker, not a defender. So we look at the best guys playing inside the box and there is maybe the best guy to play inside the box."
Amorim, however, stated he is convinced the team is improving.
He added, "So I think if you look at the game we are improving the way we play football. We are creating more chances, we are dominating more games. But in the end, when you don't win, you feel that and that is a good thing. So we know that this season is going to be like that, the momentum.
"The opponent sometimes create more opportunities and today was not the case. They scored one shot maybe two shots at goal and we manage not to score again. We have to improve in the last third. We are improving the way we build up. We are pushing the opponents more to their half, but there's a lot to be given."