"You could say we were hard done by. The ref (Mark Halsey) told my players to give Arsenal 10 yards and they've gone back," he said after the 2-0 defeat.
"He was on the ball and then gets out of way and let's Henry take it. It was a joke decision in my opinion.
"We did what the ref said and were waiting for a whistle after that. My players said he told them to move back and they waited for the whistle."
On the penalty awarded after Kanu had been body-checked by Olof Mellberg in the box, Oleary said: "No chance that it was a penalty. "They know it themselves.
"At least it's out there and everyone has seen it. It wasn't a penalty - end of story.
"The result hinged on two decisions. They are quality players but there was nothing in the game but those calls.
"We can take a lot from this into our Carling Cup semi-final against Bolton. We gave a good account of ourselves."