The Nerazzurri were hoping for their fifth title of 2010, but were beaten 2-0 by Atletico Madrid last night.
"Sooner or later a defeat had to happen," mused Zanetti. "It arrived in a game where I think Atletico did better than us.
"We are not seeking excuses, as we played quite well, but still lost the match. Sometimes that happens.
"We're just at the start and certainly cannot be 100 per cent at this time. It was a very balanced Final, but the Jose Antonio Reyes goal opened up the game."
It was the first setback for Coach Rafa Benitez, whose tactics are having some teething problems.
"I repeat, we are not looking for excuses and the new system is included," continued Zanetti.
"The Coach was confident, just as we were. It's only normal that a new tactician tries to mould the team to his ideas and we must follow them.
"Right now we all have to look forward and, with our heads held high, focus on Serie A and the next challenges."