Baroka goalkeeper Masuluke was bidding to become the first African to claim the accolade courtesy of his goal with an overhead kick against Orlando Pirates last term.
However, he came second with 217 658 votes to the Arsenal striker's 290 765. Venezuelan Deyna Castellanos placed third.
Masuluke also lost out on the PSL Goal of the Season prize in 2016/17 to a strike from popular Kaizer Chiefs star Tshabalala.
Bakgaga coach Thobejane, however, says the Giyani-born keeper should hold his head high.
"We are proud of him because what he achieved has never been done before in Africa," Thobejane tells KickOff.com.
"He shouldn't take this with a heavy heart because when you are competing with the Europeans for votes it's the same as when you are competing with Tshabalala and Kaizer Chiefs.
"We accept the results. You can't compete with the Europeans and expect to win, it was not easy.
"Do you think Chiefs fans can vote for you and leave their own player? That's the way football is, so we mustn't blame them and say they are not fair."
Meanwhile, Thobejane revealed the reason behind midfielder Siphelele Ntshangase's absence in the recent 1-1 draw with Golden Arrows and 1-0 loss to Premiership champions Bidvest Wits.
"He's been absent for two games now. He is still sick, he's got flu."
Thobejane's men will host Cape Town City in the last-16 of the Telkom Knockout at Peter Mokaba Stadium on Sunday (15h30).