Thomas Leuluai’s 72nd-minute drop-goal - his first for the club - edged Wigan 19-18 in front of a bruising, thrilling derby.
But Saints rallied and in a dramatic finish, England centre Mark Percival snatched the ball from Lewis Tierney’s grasp - and with it, the victory - to leave the Warriors without a Super League victory in four matches.
Wane said: “It’s a tough one to take.
“I’m very proud of our efforts, I thought we had the majority of the game. I think the neutral will think we were the better team, if I’m honest.
We had some tough calls I have to say, we did some defending. We could and should have won.”
Wigan’s defensive effort was particularly impressive and, with the ball, they went 14-6 ahead and later 18-12 ahead, only for Saints to claw their way back into the contest.
Wane, still missing a clutch of senior players, said: “We showed some toughness - if we keep doing that and the half the salary-cap I’ve got in the gym come back, we’ll be alright.
“St Helens are a fantastic team, they’re at full-strength and they know they’ve been in the game.
“It could have gone the other way, quite easily. We have to be happy with it - it’s just losing it the way we did which hurts badly.”
Forward Joel Tomkins dropped out with a tight groin, and centre Liam Forsyth went off with concussion. Both will need weekend checks before Wane picks his squad for Monday’s visit of Wakefield. French forward Romain Navarrete could come into the mix.
“I wish we were playing tomorrow - the lads are pumped and ready to go,” added Wane. “They’ve all put their hands up to go again, they can’t wait.”
The win was St Helens’ second in the space of a week since new coach Justin Holbrook took over.
“It was a really tough game,” said Holbrook. “It was a great atmosphere from both sides, it sounded like 40,000, and there wasn’t too much in the game. Full credit to Wigan.”