Cafu wanted to offer his support to the players after their 7-1 humiliation.
"I wanted to talk to the players last night," he told ESPN.
"But the President of the Federation told me that they did not want strangers in the locker room. I told him that I'm not a stranger and I wanted to say a few words to console the players.
"At the time they needed some encouragement, and that's what I wanted to give them.
"But unfortunately I couldn't. It was a bad game, no doubt."
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