Fraizer Campbell was caught by Santiago Vergini as he raced through on goal inside 30 seconds at Selhurst Park on Monday, but referee Phil Dowd waved play on.
Sunderland went on to secure their first away win in the Premier League this season to move out of the relegation zone, with Steven Fletcher scoring twice and Jordi Gomez also on target after Wes Brown's own goal had made it 1-1.
Warnock made no secret of his displeasure with decisions in Palace's last two games against West Brom and Chelsea and he was baffled by Dowd's failure to point to the spot.
He told Sky Sports: "Everybody knows it's a penalty, we need a bit of luck at the minute.
"Our only way of getting a penalty is somebody picking up the ball and throwing it at the referee.
"How we have lost that game I will never ever know. You can't get a clearer penalty - he's just taken his leg, you can see it clearly and the referee is in great position to give it and it should be simple so I don't understand it.
"It bewilders me. In the last couple of weeks we've had major decisions go against us. It's cruel.
"We are at Old Trafford on Saturday and we won't get many decisions there either."
Wilfried Zaha also had a penalty appeal turned down in the first half and Mile Jedinak was sent off for a second bookable offence three minutes from time to add to Warnock's misery.
The defeat ensures the London club are only out of the bottom three on goal difference, level on points with third-bottom Leicester City.
