The hosts controlled 80 per cent of the possession against the Baggies, but were powerless to prevent Chris Brunt's heavily deflected free-kick in the 63rd minute.
And while Van Gaal felt the Red Devils could point to a bit of hard luck, the Dutchman believes his side should have taken their chances - with Robin van Persie missing from the penalty spot.
You can say we were a little bit unlucky
"It's difficult because when you are attacking all of the match and when you are not scoring, then it is very disappointing," Van Gaal said after the 1-0 defeat.
"It is, of course, also defending of West Bromwich Albion, also a fantastic goalkeeper today, and (our) finishing was not good enough.
"You can say a lot of things, but I (have) seen a team that fights till the end, that attacks 90 minutes. And one free-kick is enough to beat us.
"You can also say we were a little bit unlucky. But that is not enough. You have to score out of your possibilities. The chances today were great enough for me."