Saints had a 1-0 lead in five minutes through Tyler Dibling before Sam Morsy's injury-time equaliser.
Martin said afterwards: "We have to win the game today. Their only threats were coming from set pieces.
"We had chances to kill off the game in the second half and when you leave it at 1-0 it was a problem. We have to be angry with ourselves. The detail with our defending was not right and it has cost us a goal.
"It was a good game. The first half was quite tight, second half I thought we were really good. It was really disappointing and I feel like we're so close.
"The frustration and the disappointment overrides everything. We're off the mark, but we have to use this as a springboard as there was so much good about the performance.
"We're a team that has given everything, but we have to be more ruthless in both boxes. It's a big progress in our four or five games, just allow me to be annoyed."