Diego Simeone described Atletico Madrid's defeat to Real Madrid in the Champions League final as a "failure".
Cristiano Ronaldo scored the decisive penalty as Madrid clinched a 5-3 shoot-out victory in Milan on Saturday after the match finished 1-1 after extra time.
It marked the second time in three years that Real have overcome Atletico in the final as they secured an 11th Champions League crown.
Simeone was upset in the aftermath, saying: "Nobody remembers the ones who finish second.
"To lose two finals is a failure. We must now go home and tend to our wounds."
Simeone added: "I don't know which defeat hurts the most. What really hurts me is to see the hurt of the people who've paid to come here.
"I feel a bit responsible that I wasn't able to give them what they wanted. That's what really hurts. It puts a lot of years on you."
Sergio Ramos' opener was cancelled out by Yannick Carrasco, after Antoine Griezmann struck the crossbar with a penalty for Atletico early in the second half.
Juanfran crucially also hit the woodwork in the shoot-out and that miss proved even more costly for Atletico.
"Firstly, congratulations to Real Madrid - once again they were superior to us, this time at penalties," Simeone said.
"We started the game badly, then we got ourselves organised from the 20th minute. In the second half we could have equalised very quickly but our intention was clear."