Walker announced on Tuesday that he was retiring from international football.
Asked why England are yet to win silverware since the 1966 World Cup, Walker said on the Overlap: "I think it's mentality.
"I played at Tottenham for a lot of my career, and I got to a lot of finals. You look around in the dressing room and you're searching for people that have done it before (won a league or final).
"And I remember joining (Manchester) City, and we played Arsenal in the Carabao (Cup). I looked around and I just thought, we've won this. You've got the likes of Vinnie (Vincent Kompany), David Silva, (Sergio) Aguero, Kevin (De Bruyne), and you think we're OK here.
"And low and behold, Vinnie and David go and score the goals, and I think that's what we probably lacked in that Croatia game (in the 2018 World Cup semi-final).
"When (Mario) Mandzukic, (Ivan) Perisic, (Luka) Modric - you've got all these players that are multiple champions in different leagues, and they probably don't carry the pressure as much although it means just the same to them, one million percent it does.
"They probably don't carry that pressure as much as the Englishmen do with the nation behind them."
Walker continued: "You're seeing videos from back home where people are jumping in canals and everything like that.
"The box is going mental, and you're looking and you're thinking, there's pressure here. But as much as we didn't have the pressure, once you get there (to the final), there is pressure."
Italy final
Walker added on losing the Euro 2020 final against Italy: "The Wembley one hurts,.
"I think everything with it being at Wembley. The way we've conceded the equaliser where we haven't conceded a set play goal for God knows how many matches.
"The one game where we don't want to concede a set play goal, we go and concede one.
"Just the magnitude of the game, especially after the Champions League final and losing that, you kind of want to bounce back and go and win something for your country.
"You get so close, and then it's decided by penalties - that was a cruel one. I think Spain were the better team (in the Euro 2024 final) and they should have won that tournament. I think that one (Euro 2020) to lose it on pens, it's kind of a sour taste."