The Spanish side scored two goals in the first half of the first leg of their Europa League semi-final on Thursday night and looked on course to reach the final.
But Arsenal got a lifeline in the second half when Bukayo Saka was adjudicated to be fouled inside the penalty area and Nicolas Pepe converted from the spot to get an away goal.
Villarreal still won on the night but in the second leg the Gunners have a real chance of turning things around at the Emirates.
Roig conceded that he would have preferred the 2-0 scoreline and is clear that he does not understand why Arsenal were awarded the penalty despite the VAR check.
He also stressed that Arsenal created nothing else apart from that penalty and Villarreal could have easily taken a 2-0 lead to London next week.
Roig was quoted as saying by Spanish daily Marca: “We will go to London to try and get through the tie.
“I would have preferred 2-0. It was not a penalty. It was non-existent. I do not know what it was not reviewed. Manu moved away.
“Now we cannot change it. We have to go there and then go to the final.
“If the penalty was not awarded, they practically had no chances and we would have maintained the scoreline.
“We have to be happy to take the win.”
Arsenal did miss a great chance in injury time to equalise when Pierre-Emerick Aubameyang’s effort was saved by Villarreal’s goalkeeper Geronimo Rulli.
