In a dead-rubber Champions League game at the Allianz Arena, Mane blocked a goal-bound Nicolo Barella effort in the 10th minute with his hands but despite consulting VAR, the referee waved play on.
Benjamin Pavard and Eric Maxim Choupo-Moting scored for the hosts to ensure Bayern Munich finished their group stage campaign with a hundred percent record.
Even a victory for Inter Milan would not have been enough to usurp Bayern Munich at the top but Inzaghi was still left scratching his head as to why such a clear penalty was not given his side.
"The penalty? It had never happened to me that a referee recalled by the VAR turned it down," Inzaghi said.
"We've progressed from a difficult group, achieving something that makes us really happy," he said.
"This evening, we played well against a really strong side. We had a few chances to take the lead, and there was also the penalty that wasn't given.
"We were then punished for our first lapse in concentration. However, the team did well. We were able to rotate the squad, which is something we got out of it."
After finishing a distant second to Bayer Munich, Inter Milan turn their attention towards Serie A, where they are eight points behind leaders Napoli and face Juventus this weekend.
"We fought hard for this qualification and will see what happens in February to enjoy the tournament, but for now we need to focus on Serie A," Inzaghi said.
"We are coming off four consecutive victories, but we dropped a lot of points early, we know that the fixture list is not simple for us until the break, but we must try to do the maximum."
