"Today is a bad feeling -- it was not necessary to lose this game," former Borussia Dortmund coach Klopp said.
"I'm satisfied with some moments but my problem is that you have to play for 95 minutes.
"If after the game you are satisfied with 60 minutes, sometimes it's enough, sometimes it's not. Today it's not. Of course, that's a problem."
Liverpool trailed to Yannick Bolasie's powerful shot after 20 minutes but seemed on course for victory when Philippe Coutinho arrived at the far post to finish a sweeping move towards the end of the opening half.
Scott Dann clinched victory for Palace, though, leaving Liverpool 10th in the table on 17 points, two behind Palace in eighth.
"When Palace scored I saw many people leave. I felt very alone in this moment," Klopp said.
"We have to feel this, we have to keep this and then we will know why we don't want this anymore."
To make matters worse for Liverpool, they lost defender Mamadou Sakho to a knee injury. He left Anfield on crutches.
"We don't want to speculate, but we have to wait for a scan," Klopp said.
"I'd rather lose 4-1 and keep him in the team."
While it was a bad day for Klopp, Palace manager Alan Pardew was delighted with his side's victory.
Palace have now won three league games at Anfield.
Pardew played in the first one and was manager in the other two, both this year.
"Our ambition was rewarded with that late goal. The problem with this team is it doesn't trust how good it can be," Pardew said.
"When we went toe-to-toe it was an even game, but we needed to stay in that mode."
(Reporting by Martyn Herman, editing by Pritha Sarkar)
