Later - with the Scarlets leading 12-6 in the second-half - Richard Fussell scored the Ospreys first try even though he had been put through courtesy of a Lee Byrne forward pass.
"It was a great game of rugby, very physical with a huge intensity as we knew it would be," said Davies. "I'm very proud of my players, they gave everything they had.
"The game was always going to be won or lost on a couple of key decisions - unfortunately they were not in our control, nor that of the Ospreys, and that was hugely frustrating, you expect a certain level.
"We work very hard to do what we do, we're all professionals and it's hugely disappointing.
"There was a forward pass [before the Fussell try] and also a kick at the end where Lee Byrne took the ball back into his 22 and was allowed to kick directly to touch.
"It's frustrating... we have to give it to the Ospreys who upped their game - they are a quality side, but one we felt we could have beaten [on this occasion].
"It was always going to be a tight game that hinged on a couple of things. The intensity was right up there with international level, it made a great spectacle."
And despite picking up the narrow victory Ospreys coach Sean Holley echoes Davies' reservations with concerning the officials.
"The officials had a very difficult night, but over the course of a season you get some decisions, some you don't," said Holley.
"There was a question mark over our first try, apparently. Arguably we should have had a penalty try from the scrum. It didn't go our way, but they tend to balance out."