Pablo Sarabia and Matheus Cunha struck for Wolves, with Ryan Manning having a goal ruled out for Saints by VAR.
Martin told the Daily Echo: "I think we should do more with the ball having come here and having as much of the ball as we did in their final third.
"It's not easy. If I said before the game we'd limit them to eight shots and have that much of the ball around their final third, I'd expect us to have something to show for it.
"That's not good enough. We don't create enough. I think we give away a really sloppy goal at the start, individual errors and we're made to pay for it.
"Then the decision is a really tough one. I just heard Gary O'Neil when I walked past him and he said it's a blatant foul - I just don't see it that way.
"Of course, it's subjective. If you really understand the game, the ball is on the other side of Nelson and he moves his leg the wrong way, away from the ball.
"He's not tried to play the ball. Mateus runs into him. So actually, if he's not making an effort to play the ball, I think it's really clever of him.
"But I think then you need to have an understanding of why he's moved that way. You could argue that his movement is away from the ball, maybe it's a penalty.
"Gaz will of course disagree, there'll be other people who disagree and maybe people will see it our way. But it's not like sour grapes. That's my interpretation.
"If it was my defender who'd done that, I'd say he managed the situation really well, you bought a foul. Really good."
Martin also questioned Cunha's goal.
"The second goal is a foul on Cam Archer for sure. Slow it down. When you sit in Stockley Park, you have the benefit of pausing it and watching it at loads of angles.
"His shirt's nearly off his back from Craig Dawson. But it is what it is and we should do more with the ball, it's not why we lost the game."