Ajax were forced to fight back from a goal down after their opener had been disallowed due to offside, but replays showed it was a legitimate goal, to salvage a 1-1 draw at the Princess Magogo Stadium.
Menzo credited his players for a valiant effort in trying come to back into the game and go all out for the win, but felt unlucky to come away with only a point in the end.
After the match, he told SABC TV: "It's mixed feelings you know, when you play away [against] Golden Arrows it's not easy, but if you saw the first half – I think in the first 10-15 minutes we could score two times.
"Then out of nothing they score and in the second half we pushed for the win, [after] first getting the equaliser of course. A little bit unlucky but compliment for the players."
Regarding the goal incorrectly ruled out for off-side, the Dutch tactician responded with a calm tone and refused to point fingers at the officials.
"I didn't see it, it was for me difficult to see but that's a pity. Again, the game was not yet played at that moment, but it would be good for us to have taken the lead. In the end I can't blame anyone and I won't blame anyone," he concluded.