The north London side saw three goals chalked off by officials during Thursday evening's 0-0 Europa League draw with Serie A outfit Lazio at White Hart Lane
The north London side also had strikes from Jermain Defoe and Steven Caulker ruled out by officials at White Hart Lane, as they kicked off their Group J campaign with a stalemate.
And the 29-year-old American, who was making his full debut for the club following his move from Fulham, believes his goal should have stood.
Dempsey told ITV: “I thought I was level with the line. It was a good ball from Bale, I got on the end of it and thought I opened my account but it was offside.
“That's the way it goes sometimes but they defended well, set up to counter-attack and were tough to break down but we had some chances and were unlucky to not get the goal tonight.
“It's good to get games and get more minutes. I'm trying to create chances, get on the end of things, I can play other positions but they were tough and sat back and played on the counter. But we did have some chances and were unlucky not to get a goal.”
Caulker also felt aggrieved that his headed goal was ruled out by referee Ovidiu Alin Hategan for an alleged push on Lazio midfielder Stefano Mauri.
The 20-year-old said: “I thought it was a little harsh but I haven't seen the replay yet. I was glad to keep the clean sheet and hopefully we'll go forward in the next game.
“They are one of the strongest sides in our group so we're pleased with the point but we set out to win. But we'll rebuild and go again.”