Newcastle winger Anthony Gordon was denied from the spot by Jordan Pickford, while Burn admits they were fortunate to avoid a penalty call on Everton striker Dominic Calvert-Lewin.
He said, "I thought we were a lot better, battled well and dealt with their physicality, but disappointed we haven't come away with three points.
"It was a big wake up call, (the defeat to) Fulham, I think we were getting complacent and we had words.
"We always back Gordon to score them. He has been an amazing player since he signed. We wanted to pull a result out for him because it will hurt him."
On VAR not awarding Everton a penalty after his coming together with Calvert-Lewin: "I think it was probably one of them that if the referee gives it, it probably doesn't get overturned. I felt Dominic kicked me but I've not seen it back.
"There's definitely still more to come. It's a sign of a good team when you're not playing well but still picking up results."