The 44-year-old, who scored 37 goals for his country, also offered up a comprehensive overview of the tournament, stating that despite the disappointment, there is still hope ahead of the 2014 World Cup.
"We must be careful not to show any arrogance," he told German newspaper Suddeutsche Zeitung. "It was striking that we found it hard to take advantage of our chances to score. We lacked cleverness.
"Having said that, none of the players took it easy; they were all hungry for the title.
"Six weeks before [the tournament], the feeling was that everything was going well. There was praise for our dynamism, the leadership and the power of our side - after one game, all of that has been wiped out.
"Because our qualification was outstanding, and because of the friendly victories over Netherlands and Brazil, perhaps our heads got too big."
The 44-year-old then concluded the interview by praising coach Joachim Low, amid widespread criticism of the 52-year-old's team selection for the Azzurri clash.
"Low will analyse the game against Italy, and he will find the best way to go forward. I don't worry. It's a strength of Jogi's that he makes unpopular decisions."