Goalkeeper Rune Pedersen was sent off in the second-half after he was adjudged to have fouled Jorge Leitao with Walsall converting the resulting spot-kick and going 3-1 in front.
Both Pedersen and boss Gary Megson felt the decision was wrong and Saddlers captain Westwood said: "If a penalty like that had been given against us, I would have been upset. I would not have been very happy.
"The feeling on the pitch was that, whether the keeper had gone in feet first or head first, Jorge had already gone to ground.
"It did not look like there was a lot of contact. But that is football for you. You take those decisions when they go your way, because you know that, at some point or another, you are going to get one given against you."