Redknapp's side looked on course to pick up a hard-fought Premier League point at Stamford Bridge after Charlie Austin's fifth league goal of the campaign had cancelled out Oscar's 32nd-minute opener.
However, Eden Hazard's late spot-kick ensured the league leaders a win after the Belgium international was bundled over by Eduardo Vargas.
While Redknapp refused to point the finger at referee Mike Jones or Hazard, the QPR boss did lament the decision.
"Again today, we've worked hard against the best team in the country," he said. "I was pleased with everything, just disappointed. I'm not saying it's not a penalty, I just felt it was a soft penalty.
"The referee has made a decision he thinks is right. He's made an honest decision, I just felt it was a bit soft.
"I wouldn't say he [Hazard] went down easily, it was a shoulder barge and they both hit each other.
"They're two tiny little guys [Vargas and Hazard]. Our guy is very strong, powerful and they've hit each other and he's [Hazard] bounced off. I wouldn't say he dived, no."
Despite Chelsea dominating possession for much of the game, Austin's well-taken equaliser looked set to provide what would have been an important point for the visitors.
Having beaten Aston Villa 2-0 on Monday - courtesy of Austin's brace - QPR looked well-drilled defensively again, with Redknapp disappointed not to see his side's endeavour rewarded.
"I felt we deserved something for how hard we worked. We came here and didn't lie down against the best team in the country. For that we deserved a point," he added.
"Obviously they controlled most of the game, they're going to as they've got fantastic players, but we stuck in there and I felt we looked dangerous at times on the break.
"It's a good away performance, we just didn't quite get the rewards I hoped we'd get."