Brighton and Hove Albion won 1-0 at St James's Park this afternoon thanks to a goal from Beram Kayal, which was scored from a disputed corner.
The result has left Newcastle propping up the Premier League.
United dominated the game, but they couldn't capitalise on chances in each half.
“Everyone can see that the team tried everything," said manager Benitez. "Sometimes, when you talk about games when you talk about us having to defend against some teams. Today we had 27 attempts. We had control, they had a corner, which wasn’t a corner, and they scored.
“The last five minutes they had some chances when we were giving the ball away. Too many things, too much control, we have to be more clinical in the final third."
Asked about the mood, Benitez added: “Everybody's a bit down now.
"We have lost a game we deserved to win or at least get something. It's difficult to explain when you have these situations."
On Newcastle's predicament, Benitez said: “I have said before it's difficult. It's still difficult. It's a long race. We have to keep going and we have to make sure we keep going at this level and score goals. I'm still convinced (we can stay up)."