The Lions crashed to a 1-0 defeat at Bloomfield Road but had plenty of opportunities to wrap the game up in the first-half.
Steve Morison and Martyn Woolford saw efforts cannon off the woodwork either side of a Morison penalty which was saved by Blackpool keeper Matt Gilks.
A near post Ricardo Fuller 14th minute header ultimately proved the difference and Holloway reckoned it was his side which should have won.
He said: “I really liked what I saw at the start, we’ve hit the bar I thought it was only a matter of time before we scored.
“That’s how it has gone. It’s gone on for them recently as well, one set piece, penalty save, couple of side-nets and hitting the bar and these games are all over, aren’t they?
“We’ve got to dust ourselves down.
“It’s been a tough week, we had a great result on the weekend, now we’ve had a bad one. That’s it really.”
He added: “I’m sure Blackpool have had enough to moan about over the last few weeks and good luck to them.
“It’s a bad one for us, but there you go.
“At the end of the day if you create that many chances you shouldn’t lose a game, it’s as simple as that.
“Let’s get on with it and see if we can create that many on the weekend.
“I’m sure the same people will score them goals.”
Millwall’s attempts to get back into the game were hampered on 57 minutes when Morison was taken off due a neck injury sustained from a challenge in the first half.
And the Lions boss admitted he was unsure about the extent of the injury, revealing he may look to get a centre forward in on loan to cover for Morison.
Holloway said: “I couldn’t risk him staying on there, he has hurt his neck.
“Hopefully we’ll get that checked out, he couldn’t twist it to one side or the other.
“Maybe I should have chucked a centre half on up front.
“In a game like that when they’ve got their back line stored out and are desperate to hang on to something, I needed us to be able to win a header and we couldn’t, so I'm going to have to rectify that.
“We haven’t got anyone else at the club who can do that without Steve. They kept breaking away.
“We should have locked them in, should have dropped back out.”
The manager added: “We lost our cohesion, we lost our shape and you will do when you haven't got a big man up front who can flick something or knock something down.
“Simeon Jackson needs that as well “I wanted Steve to try and run it off, he literally couldn’t do that.
“Hopefully, touch wood, it won’t be too serious.
“I’ve got to try and rectify it by getting another big man (on loan) because they are vital sometimes.”
Despite the injury, Morison was keen to stay on to salvage something from the evening.
Holloway said “Literally at half-time he couldn’t look to his left.
“That wasn’t good.
“He wanted to stay on and he got angry when I took him off.
“Any player’s health is more important than anything.
“We will have to look at that.”
Follow us on Twitter @NewsShopperSprt for live updates from Millwall v Charlton on Saturday