Jorge Jesus was downhearted after a late Branislav Ivanovic header denied his side Europa League glory.
The Serbian defender headed home in the 93rd minute to condemn Benfica to a seventh consecutive European final defeat.
The result came at the end of a disappointing week for the Lisbon club, who had been knocked off the top of their domestic league table with just one game to go only days before the Amsterdam final.
Speaking at a press conference after the game, Jesus was clearly disappointed, saying: "Obviously it is a difficult time.
"My players did not deserve to lose this game and, emotionally, it feels like they have been gunned down. It is not easy to take but we have to recover."
Ivanovic's goal came after Oscar Cardozo's penalty had cancelled out a Fernando Torres opener for Chelsea.
Despite having originally fallen behind, Jesus felt defeat was harsh on his players.
"We showed we would have been worthy winners," he added.
"For most of the 93 minutes we were better than Chelsea. Small details could have given us the victory but we couldn't manage to do it."
Despite defeat, Benfica will be proud of their display and their Europa League campaign will have caught they eye of fans across Europe, something Jesus had said the club were keen to do.
But, whilst he is close to signing a new contract, Jesus admitted he may have to reconsider his future following the defeat.
"This defeat will lead me to have some time to think about these issues," he concluded.
"I have a very close relationship with the president. I have been talking to him over the last few weeks about renewing my contract.
"We have agreed most of the details but football changes every day."