The goalkeeper skippered his side in the absence of Alessio Romagnoli, who is injured.
He said, “I'm sorry for Romagnoli, who's a great friend and a great captain.
“I hope he can return soon, but wearing this armband makes me proud."
Donnarumma saved a penalty on the night.
He added: “Luckily I saved it. Our objective is to finish fifth: we'll fight to the death, beyond Roma's result tomorrow.
“Let's wait and see: we have two more Finals and we'll have to win both of them to finish fifth."