The Spaniard won with Inter Milan in 2010 but defeat five years earlier had a bigger impact on him.
"You hate to lose any game. As a manager that hurts," he said.
"But in that game we had three goals disallowed, a penalty that should have been given, a red card they should have had, everything.
"I'm really upset when I lose a game but especially a game like that in a massive competition. The team was doing really well and I was really upset afterwards.
"A final is the biggest game. If you play a massive game in the league you normally have two or three games afterwards that you can change things.
"But after the final, it's finished. You can't change anything. So in a final you cannot afford to make mistakes."