Pennell said: "I'm gutted not to have come out with the win. It was a great performance from us. We were a couple of soft penalties and me hitting the post away from beating last season's champions.
"If that was Gloucester or London Irish, we would have been clear winners but Leicester are a quality team and they know how to win these tight matches."
Despite the agonising defeat, the England hopeful paid tribute to all his teammates for a valiant display.
He admitted: "I'm immensely proud of the boys, each and every one of them.
"The effort showed from every player today on the pitch and even the guys who didn't get on, was immense. I think we showed what this means to us."
The ever-present full-back kicked 17 of Warriors' 22 points, which included strikes from near the touchline and the halfway line.
And he admitted he is enjoying the role of first-choice kicker.
He explained: "It's not something I've had to focus on before but I've been working on it a lot more over the last couple of months.
"That has helped me get more consistent and I am enjoying the challenge."
Warriors will face another stern test at Northampton Saints next weekend but the vice-captain insists his side will be confident going into the clash.
He concluded: "We can take a lot of pride going forward. Northampton are a tough side but they will be missing a few internationals so it's a great time to play them and we will go into the match very confident."