This was the latest in a long line of penalty shoot-out exits from major tournaments, following on from 1990, 1996, 1998, 2004 and 2006, and while Gerrard praised his team-mates for their showing in Poland and Ukraine, he conceded it was a painful way to go out.
"Everyone's been great in training, every time we've come out I think we've done the country proud, but again we're going home with heartbreak, which is difficult to take," he said.
The Liverpool midfielder added: "I just feel for the players who from day one have given everything and today we did the same.
"This time in the penalty shoot-out we thought we might have the bit of luck we needed but it wasn't to be.
"Credit to Italy they are fantastic team and they got the luck in the shoot out."