The 4-1 thrashing saw Norway reach the World Cup, while Italy now face a playoff to make next summer's tournament.
After the defeat, Gattuso said of their second-half collapse: "It's worrying, I'd be hypocritical to say otherwise. Now we'll see each other again in three months... But it's easy to read, we learned too much today.
"You can't lose a game like today's 4-1. When you start raising the bar, you're up against players who can turn it around in five minutes. The third goal is the one that makes me most angry, but we have to look ahead. We can't think that a team can never get shots on goal against us: we have to react well, not like we did today."
He also said: "We're feeling a lot of pressure right now; we haven't qualified for the World Cup on the last two occasions, and we can't underestimate that. But we can't throw ourselves into the deep end at the first setback; we need more confidence in our abilities and not just do our homework when we make mistakes."
Gattuso added: "I have to take responsibility, I'm the coach. An apology is the least I can do after conceding four goals at San Siro. Today I'd rather have a football lesson, I'd have gotten over it. That's why I continue to believe that if we improve what was lacking in the second half, we can compete."