Dzeko stormed off after he was substituted during Roma's 4-1 win, abusing coach Luciano Spalletti before storming away to the locker room.
Nainggolan said: "Out of the six derbies I've played in, I've lost one, but it was the hardest to take.
“The match, both in the cup and the League, is unique, but we're strong as well and it'll be a game close to our hearts and within our grasp.
“Dzeko? He's scored a lot of goals this season and he cares. I understand him on one hand, but the Coach's decisions must be respected."