Kompany's side came from 1-0 down at half-time with Radja Nainggolan striking six minutes after the break to earn Belgium a point in Euro 2016 qualifying.
But the Belgian skipper believes his team wasted the opportunity to claim a victory away from home having taken 20 shots to Bosnia's 12, with the home side's goalkeeper Asmir Begovic making eight saves.
"Next time, if we finish better, we will probably win a bit easier," Kompany told UEFA.com.
"I'm convinced it's a good sign that we continue to create these chances, though.
"It's a really hard away game this, believe me. And if you create good chances in a match like this, in the style that we did it, then that's important. It was an OK performance."
Kompany also paid tribute to Nainggolan, claiming the 26-year-old was starting to produce consistent performances at international level.
Nainggolan struck from the edge of the area in the 51st minute, running onto Toby Alderweireld's lay-off to thump his shot past Begovic, cancelling out Edin Dzeko's first-half opener for Bosnia.
"Radja Nainggolan has been a bit in and out with his previous call-ups but now he has suddenly blossomed," Kompany said.
"He was already fantastic at Roma when I played against him and now for the national team. We now have another Red Devil who shows that he has talent. And there are, at this moment, so many - it's a real luxury."
The draw saw both Belgium (four points) and Bosnia (two) fall behind Group B leaders Wales (seven) in Euro 2016 qualifying.
