The winger felt he was fouled by Manchester United's Sofyan Amrabat in a 3-2 defeat at Old Trafford on Wednesday.
Despite the VAR having a look at the incident, they decided to go with the on field referee's decision of no penalty.
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Post-game, Gordon told Sky Sports: "Really sore. Not too sure how good my ankle will be.
"I have watched it back and it is a clear penalty. I don't mind the referee getting it wrong on the pitch, but I don't understand the point of VAR.
"He (Sofyan Amrabat) goes down my Achilles and pushes me in the back.
"I knew straight away, that is why I didn't appeal. I waited for the VAR to check, I told my team-mates 'it was a clear penalty'. I don't understand the point of it, either get rid of it or get better - it's that simple.
"I think I am quite fond of it. Fond of the idea and it should work, but there are too many mistakes."