The Amakhosi were minutes away from claiming three points until Amr Gamal fired home an eqauliser in second-half stoppage time.
The Chiefs shot-stopper says they have to go back and have a look at themselves.
"I'm not happy, I'm very disappointed. How we gave away a goal at the time," Khune told SuperSport TV.
"It happened last season against Golden Arrows, where we gave away the goal in the dying minutes. We lost concentration, we couldn't focus throughout until the fat lady sings.
"These are the games where we have to learn and stay switched on for the entire match plus added on time. I'm running out of words how we gave away that goal.
"We worked so hard to score the goal. Nine [ten] men, we couldn't beat them. We need to go back and look at ourselves and say what is it that we could have done better."