The Buccaneers lost their second leg against SuperSport United 3-0 in Soweto, meaning they have now failed to score in their last three matches.
A faction of home supporters threw objects on the pitch during and after the game, with at least one supporter and one photographer being injured.
Palacios says he and the players are just as frustrated, but he won't entertain any talk of him quitting as head coach.
"Please show me where there any fans at any club in the world that are happy if their team loses," 'Njenje' tells KickOff.com
"When you coach big teams like Kaizer Chiefs, Mamelodi Sundowns or Moroka Swallows there is always pressure, and obviously it is the same with Orlando Pirates. It is normal to feel pressure and its part of football, but we will keep going and return to winning ways."