On a night dominated by spot-kicks, Hal Robson-Kanu twice put the Baggies ahead with calmly dispatched penalties.
Those goals were sandwiched between a stunning Emiliano Marcondes over-head kick.
Brentford then got themselves on terms again with a penalty of their own - with former Albion youngster Marcus Forss converting - after referee Darren England had incorrectly deemed that Cedric Kipre had fouled the Finn.
Albion scored the first four penalties in the shoot-out. But Grady Diangana missed with Christian Norgaard then converting to send the Bees into the fourth round.
“We wanted to go through,” Bilic said.
You want to win every game and we have a big enough squad.
“In the next round we wouldn’t have had to travel.
“It doesn’t harm your training - this is perfect training, and preparation for the Chelsea game for the players who didn’t play against Everton.
“It’s not a blessing in disguise, we wanted to go through.
“Of course, our big time priority is the Premier League, but we wanted to go through.”
Bilic handed debuts on the night to Branislav Ivanovic and Conor Gallagher. And the boss was pleased with both.
“They were under the spotlight because they are two players we recruited recently,” the head coach continued.
“But they showed exactly why we got them.
“Obviously, it is their first game and they are not going to be at their best.
“But the patterns of their game, the philosophy of their game was there.
“We know Ivanovic is going to bring us quality, composure, experience and leadership.
“It was the plan for him to play 45 minutes minimum. Maybe 60. He felt good so it was 60.
“With Conor for a young guy to come here - his first game, the second half he was excellent. He showed exactly what we wanted from him. He is a dynamic player, he is a busy player. He is good on the ball. He is always on the move.
“He had a couple of shots, for a midfielder a lot of shots. The keeper made a great save from him.
“So really, really good. I am very pleased with their debuts.”
Meanwhile, Bilic has been fined by the FA after accepting a charge of improper conduct - but Albion's boss has not been slapped with a touchline ban.
The Croatian was dismissed by referee Mike Dean after remonstrating with the official at half-time during the Baggies loss at Everton.
Bilic was subsequently charged with improper conduct and could have faced a two-match touchline ban if evidence of abusive or insulting language had been found.
But after watching video footage, the FA instead deemed the incident minor and instead opted to fine the 52-year-old.
It meant the boss was able to be in the dugout last night for the Brentford game. He will also be there for Saturday's visit of Chelsea.