The former Wales centre pointed to an incident after 66 minutes when scrum-half Dane Blacker was brought down five metres out by wing Evardi Boshoff and Ospreys got over the ball to win a clearing penalty.
“It was hugely frustrating and I can’t ask for any more from the players, we played a lot of rugby and squandered a couple of chances,” said Davies.
“There was a key moment where we attacked and got right under the posts, for me that was a clear penalty and a yellow card because the guy didn’t get up off his feet.
“We were not getting those decisions and it was such a key moment.
“The penalty count was astounding – 21 to 4. We target 10 or less and I am not frustrated at my players because they played really well and went at it.
“They gave everything that they had and unfortunately didn’t get their just rewards.”
Scarlets finish their season in Llanelli against Dragons when they will try to avoid being Wales’ lowest-ranked side for only the second time.
“We are showing the type of rugby and the game that we want to play,” insisted Davies, who took the reins in January.
“We are getting to be a little bit more difficult to beat and we can take a lot of that into the next game and into next season.”
Dragons’ loss to Edinburgh without a bonus point means Scarlets are currently 14th on win count.