It was Inter's first loss since May.
“It was a strange game, because we're not used to losing," Icardi told Inter TV.
“We put in a fantastic performance in the first half and had a good 20 shots on goal, but could've done better after the break. Udinese started the second half really strong and we made far too many mistakes, errors that are really not like us, and that boosted their confidence.
“We lost today, but I think we're still all happy with the work we've been putting in. We need to get straight back on our feet and do our work. You can't win all the time, that's football."