Oleg Kuzmin's 22nd-minute goal was the difference between the teams in Group D, which is topped by the Russians, on Thursday.
Thomas Rogne almost snatched a second-half equaliser for the Championship side but his header bounced off the crossbar.
Coyle believes his side dominated after the break and deserved to take something from their trip.
"I was a little bit annoyed in that from our point of view, it was a soft goal to lose," Coyle said.
"But in the second half, we dominated a very good side.
"We certainly shouldn't be leaving here on the end of a 1-0 scoreline. We have hit the woodwork and had numerous chances in the second half."
Wigan sit second in the group with five points – five behind the leaders – ahead of a home match against Zulte-Waregem and trip to Maribor.
Coyle, whose team sit mid-table in the Championship, remains confident his side can progress to the knockout stages.
"I think at the outset, everybody felt - and rightly so - that Rubin would be the favourites to win the group," Coyle said.
"But with what we have shown in the two games, home and away against Rubin, we are confident going into our last two group games.
"We have the quality to progress from the group. We have to keep putting in performances like tonight and if we do that it will see us earn enough points to qualify for the knockout stages."
Get the best features, fun and footballing frolics straight to your inbox every week.
Thank you for signing up to Four Four Two. You will receive a verification email shortly.
There was a problem. Please refresh the page and try again.