Olympiakos secured a 1-0 victory over Fiorentina in extra time on Wednesday, courtesy of a goal by Ayoub El Kaabi in the 116th minute.
The result marks the second consecutive time that Fiorentina have lost the Conference League final, following their 2-1 defeat to West Ham last year.
"We really believed this time. It hurts," Italiano told Sky Sports Italia.
"It's disappointing for the second time. It's disappointing because again we had many situations to score goals but the players did everything they could.
"It hurts to see my players cry. We really believed this time we could have a different epilogue to this campaign."
Fiorentina's finals have been plagued by disappointment, with three losses in two years, including last season's Italian Cup final defeat to Inter Milan.
"Losing hurts; going all the way for two years running is something good but naturally you have to lift a trophy and we didn't manage it," Italiano said.
"The journey feels ruined when you have to watch the others lift the silverware.
"At this moment, I too feel too bitter, disappointed, let down, because I too really believed we could have a different ending."
