It was a night to forget for Lazio, who were beaten 3-1 by visiting Torino in Serie A on Monday as Inzaghi's men failed to capitalise on the league's top four all dropping points.
There was a big talking point when Immobile was sent off just before half-time after the referee consulted video evidence.
After being denied a penalty when his cross struck Iago Falque's hand, Immobile hit the post before the Italian forward appeared to headbutt Nicolas Burdisso as referee Piero Giacomelli brandished a red card with the assistance of VAR.
"The images are clear. I can analyse the first half, but in the second it was decided by the referee, his collaborators and VAR," Inzaghi told Mediaset Premium.
"We should've done better in the first half, we created a few chances and Torino also had their opportunities.
"We had the feeling we could get the victory, but for the fourth week in a row we were left feeling defrauded. It's a series of incidents that really makes you think. You all saw it."
"I don't know, but after four weekends like this, you do think it. I hope not, because it's the most beautiful sport in the world, but after four games in a row where the mistakes are always against the same team," Inzaghi continued.
Inzaghi added: "We should've done better and taken the lead in the first 45 minutes, but when certain things happen, it's really irritating. I was able to calm the team down and talk about the pitch situation for three times, but the fourth was tough.
"It's the fourth time in a row I've found myself here saying the same things and at this stage it's difficult to get my players to focus. We could see in the second half that the lads just weren't with their minds on the game and they couldn't stay clear-headed.
"It's natural for people to ask themselves questions and give themselves answers. It's going to be a fiery week ahead and I have to try to keep my players focused."