Gerrard said: “We can be proud of ourselves. We’ve done so well getting to the final and I know we’ll play in another one of these finals.
“We’ve got to pick ourselves up, have a good rest in the summer and then go again next season.
“We’re going places, there’s no getting away from that.”
He continued: “I think we controlled in the first half but not as much as we would have liked in the second half – but let’s not forget that we were playing a top side with top players.
“Credit to AC Milan – they won and maybe they just about deserved it.
“In the build-up to the game we said it would be decided on small details and a bit of luck and AC Milan got that.
“We need to strengthen and bring some quality into the club. The manager and the people in charge of the club know that and it will be an interesting summer.
“You’ve got to give credit to our lads, they gave everything and it just wasn’t to be.”