Ajax were held to a 2-2 stalemate by Stars at the Athlone Stadium, stretching their winless run in the Absa Premiership to six games dating back to December.
Despite dominating for a large chunk of the opening exchanges, Ea Lla Koto drew first blood when Mohammed Anas scored in the 18th minute after a lapse of concentration by goalkeeper Jody February, prompting Menzo's frustration.
"I think there were two crucial moments in this game. [Before] their first goal I think we were in the game and were on top for long moments in the first half," said Menzo, while speaking to SuperSport TV after the match.
"The team came back well to lead 2-1 [at half-time], but the second crucial moment was the red card. We then had to fight and they scored to make it 2-2, that's actually it.
"I think when we played with 11 men we were dominating. We had problems in the second half, of course, because they pushed forward more, but there was nothing wrong and those crucial moments [cost us the win]."
Regarding the red card to Grant Margeman, Menzo revealed that referee Kulasande Qonqo offered a different explanation for the second booking rather than for possible time-wasting, but he still felt it was not the player's fault.
"I don't know [why he was booked] but I think something happened earlier. It was not his coming off – that's what the referee said," he revealed.
"If the player has a hamstring problem he can't run off the field, then you have to [question] the referee, if that was the issue then you give one minute extra, I don't care.
"But he already has a yellow card and he has a hamstring problem so he can't sprint, but what the referee said is there was something else wrong, I don't know."
Meanwhile, the Dutch tactician played down their winless run in 2017 and preferred to focus instead on the fact that his team never lost the game.
"Everybody's going on about the [winless run], can't we find something else to talk about? We didn't lose, they didn't come close [to winning] so for us it's not a bad result.
"Especially with the fact that we played with 10 men for a long time, it's not a bad result. The only pity is that it was a moment to make the gap between Free State Stars and ourselves bigger. But the win will come, for me it's not something I'm worried about," Menzo concluded.