Rooney admitted his frustration at the result and performance against the Italians but said focus must now turn to Sunday's trip to Southampton, a side a point and two places above the Toffees in the table.
Everton beat Watford ahead of the recent international break before earning a point at Crystal Palace last weekend and Rooney said: “It's been positive in terms of picking up points in the league recently and we need to keep working on that.
“We knew there was nothing riding on the game [against Atalanta] in terms of qualifying from the group but we're playing for Everton and there's that pride. We had that at stake and it's a disappointing result.
“The manner in which we lost it is very disappointing and upsetting and there's not much more to add really. We wanted to win the game, we haven't, and that's a hurtful defeat for us.
“Getting the goal to make it 2-1, we were back in the game. We had a couple of chances to equalise but we conceded sloppy goals from set pieces. We knew they were good at set pieces and we didn't deal with them.
“Since David Unsworth's come in there's been a great atmosphere amongst the players, some positive results and the players are enjoying the day to day training.
“It's been a positive few weeks in terms of performances, tonight aside, so I think we have to keep trying to pick up points in the Premier League and try to move up the table."