Jean-Ricner Bellegarde and Matheus Cunha struck for Wolves on Saturday night.
Emery said afterwards: "Frustrated after we were enjoying the week.
“In the Champions League we are performing very well and being consistent and we wanted to be in the last 16.
“Always my message is that through the Premier League we are going to get our target, but it’s very, very difficult to be consistent in the Premier League with the teams and the good coaches they have.
“Today in Wolverhampton it’s difficult to win here. Our performance today was a little bit under our expectation at the beginning of the match.
“Our challenge is to try and be consistent like we are in the Champions League and try to get our performances in the Premier League.
“Wolverhampton were very focused in the match and individually, they were very aggressive and intense. We were competing as well but we conceded one goal and some chances in the first half and we were not controlling the game like we needed.
“In the second half I changed four for some fresh legs, particularly with Leon Bailey on the right side, getting wide and trying to threaten them from there. We created some chances with Bailey and (Donyell) Malen as well; we created two, three, four chances to score but we didn’t score.
“We had a refusal from VAR for the action and it’s difficult to accept it. Those circumstances were punishing us and at the end, they scored the second goal and we lost.”