Inter was blown away 5-0 by PSG in Saturday's final in Munich.
Lautaro then told Sky Italia: “We could not do everything we had prepared, congratulations to PSG, but I am proud of this team: teammates and coaches.
“We have to get up, we had an excellent season, even if we didn't win a title that is going for it. There is bitterness and desire to leave, we left everything behind.
“Many reports in a last pain, but we are proud.”