Second half goals from Ollie Watkins and Tyrone Mings saw Albion to defeat on Gerrard's first match in charge since taking over from Dean Smith.
Brighton played well in the first half and Leo Trossard and Tariq Lamptey both had good efforts well saved by home keeper Martinez.
The defeat drops Brighton to eighth in the Premier League and without a win in their last seven.
Dunk said: "It is a frustrating one to take because if you look at the game we controlled the majority of it. But it is no good just controlling the game, we have t get in front and defend it.
"We didn't do that and we got punished for it. That was their game plan to sit there and counter. It was a good atmosphere, we dealt with it well but unfortunate we lost in the end.
"We just lacked that cutting edge and were not quite there in the final third. Our possession were good but it is frustrating.
"We have to get out of this little rut we are in starting with our next home game ].
"We know what we were coming into. It was a new new manager and Steven Gerrard in charge - it was always going to be super loud.
"I thought we dealt with that but not well enough."
Of the frustrating winless run, the Albion skipper added.
"It is a concern but it is a tough league. The performances we are putting in are good but it is hard to win games. From the outside you can sit there and say you should be beating this team and that team but it is not so easy.
"We make sure we work hard and take our game plan onto the pitch and hopefully it works. Unfortunately today it didn't.
"We are in a much position than we have been. Usually we are floating around the relegation zone. At the moment we are a little bit away.
"You can get sucked in quick and we have to make sure that doesn't happen. We know what we are about and we have a big home game coming up (against Leeds)."