Despite a 6-3 aggregate win over Romanian side Petrolul Ploiesti, the 49-year-old was disappointed with his side's poor finishing after they slumped to a 2-1 second-leg defeat
The Swans advanced to the group stage with a 6-3 win, courtesy of their 5-1 first-leg demolition of Ploiesti at the Liberty Stadium but Laudrup was disappointed with his team's ability to take their chances on the night.
The home side took the lead in the 73rd minute through Njongo Priso before substitute Roland Lamah equalised, though Ploiesti claimed victory with a Hamza Younes winner, while Swansea skipper Leon Britton was sent off in the closing stages.
And Laudrup was convinced his team could have scored before Belgium international Lamah cancelled out Ploiesti's opening goal but stopped short of blaming Northern Irish striker Rory Donnelly, who was making debut up front.
"We had some huge chances," Laudrup told reporters, "but if you don't score, then you won't win.
"We suffered a bit in the last 20 minutes and they got the first goal, then we had the red card late on.
"But we wasted a lot of energy because we didn't score when we had the chance to. We have to be much sharper when we have possibilities but having said that I thought Rory did really well for us."
While Laudrup was happy to see Swansea reach the Europa League group stage, he warned his team that he will work them hard to fix their wastefulness in the final third.
"We are definitely not pleased with that," the 49-year-old Danish manager said.
"We are happy to go through and I thought we would after the first leg but once more we have seen what can happen if you don't take chances when you get them.
"We knew they would go out and press us because they had to in front of their own fans after a result like last week.
"They took a lot of risks and we knew we would have a lot of counterattacks but we did not finish them. They were huge chances. It's fantastic to go through but we should have done better."