Government officials announced their decision on the plans on Wednesday night, and a public inquiry could add a year to the planning process and increase costs of the venture.
A statement from the club said: "We are disappointed by the decision.
"Having spent more than two years working diligently on a project which would not only provide Everton Football Club with a new home but also regenerate Kirkby, we had hoped to avoid a government call-in.
"Indeed, it was only in June that Knowsley Borough Council's Planning Committee voted by a majority of 20 to one to grant planning permission.
"We shall now engage in detailed discussions with our development partners, KBC and Tesco, to assess what options are open to us.
"It is important to stress that this decision does not spell the end of the Destination Kirkby project - but it will, self-evidently, precipitate a period of reflection, assessment and re-evaluation."