Ryan Giggs branded the decision to award a penalty for a handball by Ethan Ampadu “harsh” after his side lost 2-0 to Denmark.
Wales slipped to UEFA Nations League defeat as Christian Eriksen continued his incredible goalscoring form in Aarhus.
The Tottenham midfielder scored in each half – the second a contentious penalty – to make it 15 goals in his last 18 appearances for Denmark.
Eriksen’s double proved too much for Wales, who were handed a reality check after their impressive 4-1 win over the Republic of Ireland on Thursday in their Nations League opener.
Wales were still very much in the game before the crucial second goal, which came after the referee penalised Chelsea youngster Ampadu for stopping a cross with his hand although it looked unintentional.
Giggs said: “Was it a penalty? It looked harsh. After that it was an uphill task against a good team.”
After a turbulent week for Denmark, whose players went on strike in a dispute with their FA, they looked the fitter team having fielded a side full of part-time players from the Danish league in their 3-0 friendly defeat to Slovakia on Wednesday.
Giggs felt fatigue played a huge part in the closing stages but remained proud of his team’s efforts.
“They were a lot fresher. They had no game – our lads had played two games,” he added.
“It’s all about coming back. We set the standard on Thursday and it will be difficult to repeat that but that’s what I’ve challenged them to do. Overall, I can’t fault the effort. We were in the game up until the penalty call.
“All the lads are down but there are lots of positives to take. We’ll learn from it and move on.”
Gareth Bale captained Wales for the first time with veteran defender Ashley Williams rested after the Republic win on Thursday.
But Bale largely had a game to forget as Eriksen won the battle of the two superstars hands-down.
Giggs’ tinkering after such a quick turnaround came in defence. James Chester replaced Williams and Chris Gunter was back to win his 89th cap as Connor Roberts was pushed forward and David Brooks omitted.
The Danish public were relieved to see their senior squad out in force again after the players’ image rights row which had embarrassed them during the last week.
Denmark had fielded lower-league and futsal players in their 3-0 friendly defeat to Slovakia on Wednesday, but this was a completely different examination for Wales.
It had not been a smooth build-up for Wales either as a technical fault with their plane had delayed their arrival in Aarhus until the early hours of Sunday morning.
The opening quarter was a sparring exercise with Aaron Ramsey and Thomas Delaney firing over from range, and Kasper Schmeichel gathering at the second attempt under pressure from Roberts.
Wales were dictating the tempo of the contest, but there was a moment of real concern when Simon Kjaer flicked on Henrik Dalsgaard’s long throw and Chester had to clear at the far post with Mathias Jorgensen lurking.
Delaney sent a volley whistling wide moments later as Denmark showed signs of stirring.
But Bale went close with an angled drive after Ramsey won possession in midfield and the Real Madrid forward was left one-on-one with Kjaer.
Wales were to pay the price of leaving Denmark dangerman Eriksen unattended after 32 minutes.
Eriksen controlled Dalsgaard’s cross and his low right-foot effort beat Hennessey to go in off the far post.
Hennessey prevented Denmark from doubling their lead four minutes later with a brilliant one-handed stop from Pione Sisto’s ferocious half-volley.
Wales almost profited from some pinball in the Denmark penalty area at the start of the second half, but Ramsey saw his effort blocked and Bale drove a free-kick into the chest of Kjaer.
But the exertions of their Republic win appeared to be catching up with them as Denmark took command.
Hennessey held Yussuf Poulsen’s header under his crossbar and Martin Braithwaite prodded wide.
The game was put beyond Wales after 63 minutes when Ethan Ampadu was harshly adjudged to have handled Viktor Fischer’s cross.
Ampadu could hardly get out of the way of the ball as he was standing only a few yards awayfrom Fischer, but Eriksen showed no compassion as he beat Hennessey with ease.
Bale saw a late deflected effort tipped away by Schmeichel and Ramsey sent a tame header straight at the Leicester goalkeeper.
Eriksen almost completed his hat-trick in stoppage time with a 25-yard free-kick as Denmark saw the game out comfortably to move top of Nations League B Group Four.
