Opting to bat after winning the toss, Delhi posted a respectable 160 for five which KKR chased down with consummate ease in 18.2 overs for the loss of just two wickets.
Asked the reason behind the Daredevils' decision to bat first, Parnell said: "I don't know. You need to ask Gary (Kirsten)."
"But what I believe is that batting second is easier on this wicket because it is very difficult to defend here," he said after the Delhi outfit slumped to its third consecutive defeat in the seventh Indian Premier League.
But Parnell said the Kevin Pietersen-led side is "very close" to dishing out a "perfect game".
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"We are really very close to playing a perfect game. Once that happens it is going to be special. We are falling just 10-15 runs short in every game," the South African said.
"The encouraging thing for us is that we lost most of our games in the final overs. But I firmly believe that we have squad which is capable of winning rest of the matches," he said.
"On the field Kevin's energy is unbelievable. Yes he hasn't scored runs but Kevin is a class player and I hope he will score runs in our next game," Parnell said.
Parnell also praised KKR skipper Gautam Gambhir, who set up the foundation for the eight-wicket win with a classy 69.
"Gauti played brilliantly today. He set it up for KKR," he said.