The two-match series is on the verge of a draw as rain washed away three consecutive days in the Dhaka Test after having the final say in the first match in Chittagong.
Mahmudullah spoke to reporters after the fourth day was washed out on Sunday.
"It is naturally frustrating when play is abandoned three days in a row after getting on the field with plans and mental preparation of playing five days.
"We have come to play. It's all wasted if playing is what we cannot do – playing good or bad comes later."
A drawn series against the top-ranked Test team will see Bangladesh earn points. But Mahmudullah prefers playing rather than bagging points in this fashion.
"I would have enjoyed playing more than getting six points. It would have been very useful for us if we could play the whole five days in both the matches, regardless of win or loss.
"It is because we would be playing against the world's best team. We could have gone over our skills."
A crime in Test cricket
No Bangladesh batsman could score a century in their last four Tests, including the one in Dhaka. They could not stretch their innings despite making good starts.
Mahmudullah believes getting out after settling down is a crime in Tests.