James Hook and Leigh Halfpenny were astray with three chances between them against Australia as the Wallabies held out for a 21-18 victory to claim third place in the Rugby World Cup.
"Probably the person upset is Neil Jenkins (Wales kicking specialist)," said Gatland. "At this level, you've got to take your opportunities. Unfortunately, on these big occasions, our goalkicking has been down.
"In the past, we've had reliable goalkickers with percentages in the 80s. For whatever reason, unfortunately, they have missed a couple of crucial ones here.
"The one James missed in front of the posts was pretty important in the scheme of things and was probably what cost us. It's something we probably need to look at. It has been pretty costly to us.
Jones, who banged over a penalty and converted Leigh Halfpenny's try, said: "We've lost three games so closely. One of the easiest things to look at then is goalkicking. I would be interested to look at our statistics compared to other teams.
"We thoroughly enjoy working with Neil. He challenges us and he wants us to be the best out there. We set ourselves high standards, and it is frustrating when it doesn't go our way.
"We do put a lot of hours and effort into our kicking game, and it's important that we do because it decides matches."