Walter Zenga's went 1-0 down after Rajiv van La Parra's early first half goal and Wolves couldn't find a leveller despite a number of good chances.
Speaking after the game, Bodvarsson said: “I’m frustrated. I hate to lose and I thought we should have done better today.
“The second half was better but I still think we can improve a lot. We did what we could do but, still, I think we could do better.
“We could’ve taken our chances, I had a header that was saved and there were a couple more.
“I think we can play better both defensively and going forward and that’s something we’re going to have to look at.
“We had good momentum after the start of the season, we were winning and getting good results.
“So it’s a kick in the face getting the defeat here today but that happens in football.
“You win some, you lose some and it’s just a matter of character – how we deal with it and how we step up for the next game."
Bodvarsson's headed effort, that was spectacularly saved by Danny Ward, was the closest Wolves came to finding and equaliser.
“I was 100% sure it was in," explained the striker before adding: "But, yet again, the ‘keeper stops it with a great save.
“Personally I’ve had better games this season, I didn’t have my best game today but that happens.
“I try to be as consistent as possible and I’m just going to look at this game again and learn from it."
Looking forward, Bodvarsson believes Wolves have a lot to build on following an encouraging start to the season.
He said: “I think we have some good character in the team. This loss won’t affect us.
“A good character steps up after they lose and learns from it.
“It’s a really good start to the season to be honest.
“We have a lot of new players and a lot of things going on and I think we started really well.
“We have to be consistent and keep that same momentum going on and hopefully we will do that.
“Especially when there are a lot of things going on, it’s important to keep the togetherness and win games."
