United recorded their sixth 0-0 stalemate of the season after squandering a number of chances against West Ham.
Anthony Martial, Marouane Fellaini, Bastian Schweinsteiger and Jesse Lingard missed good opportunities to earn a much-needed win for Louis van Gaal's side, who dropped to fourth in the Premier League.
United supporters booed their team off and once again shouts of "attack, attack, attack" could be heard from the Stretford End.
Smalling said the players shared the fans' pain and conceded those who paid good money to be in the stands at Old Trafford were entitled to air their frustrations.
"Today was a massive frustration for us and it's so disappointing when you dominate a game," the United defender told MUTV.
"The fans are in their right to show their frustration and we are just as frustrated
"In the changing room, everyone is down because it is an opportunity missed
We are in a good position in the league, but it could have been boosted today."
This was not the worst United performance of the season
The introduction of Fellaini gave United a more potent look in attack while Lingard and Martial used their pace to good effect too
But once inside the box it was a different story
Without top goal scorer Wayne Rooney, United lacked a killer touch.
United may have the best defensive record in the top flight, but a return of 20 goals in 15 matches at the other end is hardly title-winning form.
"It's not that we are not creating the chances," Smalling added.
"In the second half, we had quite a few opportunities in and around their six-yard box and we could have easily had a few goals.
"If we keep creating chances, we are confident sooner rather than later they will go in.
"On another day, we would have punished them, but when you dominate like we did, we should be taking the three points."
West Ham could have just as easily snatched all three points.
The Hammers struck the woodwork twice in the first half and Mauro Zarate missed a sitter after the restart.
Victor Moses also spurned a good chance to put the Londoners ahead when he raced clear but shot at David de Gea.
Slaven Bilic was not too disheartened at his team's failure to register their first win at Old Trafford since 2007.
"We don't have a record of too many wins here so it's a good point," the West Ham boss said.
The Croatian was unhappy that an elbow from Schweinsteiger on Winston Reid went unpunished.
"It was a clear red card, a straight red without any doubt," Bilic said.
"I can't blame the referee (Mark Clattenburg) because he didn't see it, it happens.
"I can't blame the officials no matter how disappointed we are."
Given that the referee did not see the incident, Schweinsteiger could be punished retrospectively by the Football Association, who will wait to see if it is mentioned in Clattenburg's report before deciding whether to take any action.
United, already without Rooney, Marcos Rojo, Antonio Valencia, Ander Herrera, Luke Shaw and Phil Jones, look like taking a depleted squad to Wolfsburg for Tuesday's crunch Champions League match.
Paddy McNair and Morgan Schneiderlin were both substituted against West Ham and may now miss the match in Germany, which United must win to guarantee their passage to the last 16.
"Paddy McNair has an ankle problem and Schneiderlin is a little bit stiff in the hip, so we have to wait and see as always on that," Van Gaal said.
"I hope they can play on Tuesday but it is a very short [turnaround] so it is a very big question mark."
Source : PA
Source: PA