Real swept Lazio aside with a superb first-half performance as Julio Baptista, Raul and Robinho all struck before the break. Goran Pandev pulled a goal back for Lazio after halftime, but their chances were gone once Tommaso Rocchi failed with his last minute penalty.
"The disappointment is great, especially because we wanted to play the game in a different way," said Rossi. "Missing out also on the UEFA Cup is a big blow.
"The difference was the physical approach of the teams. They were up for everything, challenging, we couldn't repeat the great performance we enjoyed at the Olimpico. Real tonight demonstrated that they were clearly superior."
He added: "But we leave this competition with our heads held high. Tonight wasn't the greatest blow, that goes to the defeat at home to Olympiacos.
"Now we must focus on the league, because our position is very delicate at the moment."