Two errors from Reds goalkeeper Lorius Karius and an injury for Mohamed Salah saw Real win 3-1.
Gerrard said, "Out of the six [final defeats] this will be Jurgen Klopp's toughest - just the way it's happened. He's done everything right, the manager.
"He's prepared his team well throughout the campaign and he set them up well tonight. Tactically they were very good, they looked dangerous, they were full of energy and he loses his best player who has been phenomenal all season.
"That goes against them and for the keeper to make the two mistakes that he did - everything went against Liverpool that could."