The two sides played out a fairly forgettable third round affair at Hillsborough.
Wednesday probably edged the contest but failed to beat Luton's stopper James Shea who kept the hosts' at bay on more than one occasion.
"I thought we had the chances in a game that opened up towards the end,' Agnew said.
"We're disappointed obviously not to win the game but equally we're still in the hat.
'Today was a game where we had to be patient.
"What you saw is that the players had a heavy Christmas period.
"Defensively, we looked really solid.
"I know there was a concern at conceding too many goals being conceded but that's been addressed.
"We were rock-solid behind the ball.
"We just need to get on the training ground now and do some work on offensive play to create more chances."
Agnew, who is holding the fort until boss Steve Bruce arrives on February 1, chose a strong starting line-up against the Hatters with just one change from the Birmingham game on New Year's Day.
He added: 'We felt there was momentum over the Christmas period and players had confidence.
'We had a chat and decided to go with a very strong team.'