Leeds tried to sign Gallagher on loan from Chelsea during the summer but the midfielder opted to stay in London and instead made the season-long temporary switch to Palace under boss Patrick Vieira.
Gallagher was his usual all action self in the middle of the park in Tuesday's clash at Elland Road and Palace looked set to leave West Yorkshire with a point as the contest remained goalless heading into second-half stoppage time.
But Leeds were awarded a 91st-minute penalty after Marc Guehi blocked Liam Cooper's header from a corner with his arm and Raphinha coolly converted to give Marcelo Bielsa's side their third win of the season, taking Leeds up to 15th and five points clear of the drop zone.
“We had chances to win the game,” said Gallagher, speaking to cpfc.co.uk“We want to be winning these games but they made it hard for us, pressed well.
"On another day we could have come out with a win but not today.
“I feel like we’re making good progress. We’re still working hard to improve.
"Not every game is going to go well, as you can see from the last couple of games.
"We just need to keep our head down and keep working hard.
Speaking to Match Of The Day, Gallagher said: "Really difficult, we are very disappointed to lose the game especially conceding right at the end.
"I didn't feel like we deserved it, we have played a lot better than that but we are gutted. We have to take it on the chin and bounce back.
"We had chances to win the game, we want to be winning these games but they made it hard for us, pressed well. On another day we could have come out with the win.
"We are making good progress and working hard to improve, not every game is going to go well, we need to keep our heads down and keep working hard.
"I am really enjoying playing under Patrick (Vieira) and for Crystal Palace and hopefully I can improve and the team can improve."
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Thank you Laura Collins