Gerrard revealed his pride at the performance of his team at Stamford Bridge, saying: "It just was not to be. Sometimes you just have to hold your hands up and admit it was not your night.
"Even after going behind we kept on fighting and looking to get back into the game and when we managed to do that it looked like we could even go on and win it.
"It was not to be, but not for a lack of effort. You have to give Chelsea credit, they are a good side - you do not get through to European Cup finals unless you are."
Gerrard added: "We have all got to look forward now, because it is never easy to lose a game like that.
"We were all desperate to win the European Cup again, especially for our fans, who were magnificent again last night. We were just gutted that we could not repay their support by getting through to the final.
"Hopefully, we will go into next season with a stronger squad because that could make a big difference."