The 37-year-old was gutted at conceding a late goal to Christian Panucci which devastated Alex McLeish's side.
Scotland had fought back to equalise through Barry Ferguson after losing a goal inside two minutes to Luca Toni.
Weir could retire from international football but was reluctant to make any rash decisions, saying: "It's not a day for thinking about that.
"There are other issues like the disappointment so we will try to let that settle first before we start thinking about that.
"In the second half we were the better team and looked like we would go on and win it.
"Even a draw would have kept us in it, so for that to happen was cruel.
"They started better and got a goal which changed the game.
"It took us a while to get up to the pace but we just never made it.
"We had a couple of chances and it is a fine line between success and failure and we were on the wrong side of it."
Scotland goalkeeper Craig Gordon encouraged Weir to continue on to the 2010 World Cup qualifying campaign.
He said: "Davie can go on as long as he wants.
"It's up to him but as long as he is playing for Rangers I think he should be a stalwart in the Scotland team."
The Sunderland goalkeeper revealed his sense of disappointment, saying: "In the first half we got a bit of luck when they scored and it was ruled offside.
"We thought it might be one of those days when we would get a bit of luck and it took us until the last minute to prove us wrong.
"We've done well in the section but when you look at the quality we were up against it was always going to take something special."