Ferguson impressed as Bologna defeated AC Milan 1-0 thanks to Dan Ndoye's second-half winner.
The Scot told the club's website: “I have no words, it's incredible. It's a beautiful evening, we made history with our wonderful fans who always follow us.
"This Cup is for them but also for the staff and for us players who give everything every day. There was a lot of emotion before the match, it's normal before facing a strong team with dangerous players.
"However, we were dominant: in the first half we had a lot of possession, in the second half the goal came, then we went on the defense and the victory arrived.
"For me it hasn't been an easy season, I've had many stops due to injuries but tonight being there, playing and winning was beautiful.
"Now we'll enjoy the victory and then we'll think about the end of the championship."