The Italians raced into a 3-0 lead in the first half of the game, thanks to excellent displays from Shevchenko, Ricardo Kaka and Hernan Crespo.
The Ukrainian was asked about the game, and he told Corriere della Sera: "The wound is still bleeding.
"It bothers me that they said that we were carried away by the euphoria.
"Maldini said at half time to be careful.
"The first months after the final I would wake up screaming in the middle of the night thinking about it."
He added: "Now that I am a coach I think about those minutes in which we scored three goals.
"It is not a criticism of Ancelotti, but I would have stopped the game, changed something."