Liverpool legend Gerrard said he would spend Sunday doing some "serious thinking" after his side were beaten 1-0 by Hearts in Saturday's quarter-final.
He said: “I'm very disappointed. It's the lowest I've felt since I came into the job by a long way.
“The performance today was nowhere near good enough.
“On Wednesday night I was the proudest man in Europe because my players were outstanding.
“Everything we've worked on for two years, I could see it on the sidelines. I was proud as punch, it was incredible.
“But today for 90 minutes, I didn't recognise anything. So I'm feeling really low.
“Two seasons without a trophy isn't good enough. It's not what I'm about.
“But that's where it comes down on my shoulders.
“I need to think now. The plan was to have a day off on Sunday. But I need to think hard about where we are. I'll do some serious thinking in the next 24 to 48 hours."