The Three Lions were downed by Italy on penalties in the showpiece event at Wembley back in July.
And Sterling says his teammates want to go on better at the 2022 World Cup.
"Bit of both, you still have people saying congratulations or something and it's like… there's not much to congratulate as we didn't win," Sterling said.
"That's the great thing within the squad, we're not happy with doing well and putting on a show for the country, we genuinely wanted to come home with that trophy and that's the mentality in the squad now.
"It was class we went to the final but we want to win, we want to make history and I think that's the message since day one when Gareth (Southgate) came in."
Need a VPN? Or seeking to switch? Then support Tribal Football by clicking here to sign up with our official partners NordVPN. Not only will you receive the best VPN experience, but also great discounts by signing up via Tribal Football. Thanks for your support!