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Sampdoria were denied a major scalp on Monday when Duvan Zapata rescued a point for Rafael Benitez's men in a 1-1 draw, with Mihajlovic's charges having also held Roma and Milan this season.
Indeed, Sampdoria have only lost once in their opening 13 Serie A games, leaving them sixth in the table and only two points adrift of third.
"Once again we proved that we can play on a par with anyone," he told Sky Sport Italia. "We are missing that little something to beat a big club.
"It's disappointing for the lads, but if we keep playing like this and improve our mentality away from home, then we can go far.
"We drew with Roma, Milan and now Napoli, so we are just missing that something extra."
Sampdoria host Brescia in the Coppa Italia on Thursday before back-to-back away league matches at Verona and defending champions Juventus.
