The one not given came when Tom Youngs was brought down in the second half by a tackle from Dave Bayliss.
The referee waved play on with Bury appealing for penalty and looking more than disgruntled that they did not get one.
Shortly afterwards Iyseden Christie was through the Bury defence and was brought down by keeper Kasper Schmeichel.
This time the referee thought it was a penalty and so did every Rochdale fan.
Rickie Lambert stepped up to take the spot-kick and scored to cancel out the goal scored by Youngs after 61 minutes.
On a bitterly cold night on a hard pitch it was a bit more like a kick and rush at times but now and again Bury and Rochdale served up a spot of welcome football which at least kept the crowd a bit warmer than they otherwise might have been.
Bury's goal came from a long throw in from the right and Youngs was there at the far post to bundle the ball home after it had been headed over the covering Rochdale defence to leave him unmarked with an easy chance.
Bury took over in the second half and the home defence was hard put to keep out a lively attack.
Youngs' goal was no surprise and it looked like curtains for Rochdale as the visitors went close two or three times.
But Rochdale broke away and Christie looked to be in with a good chance until Schmeichel brought him down just inside the penalty area.
Bury protested strongly but it looked as if the referee was right.
Overall Bury must be a little disappointed but perhaps the draw was a fair result.