The Seasiders manager says it is unfortunate his side did not deliver and that he will rue their missed chances at Wembley, but congratulated West Ham on their promotion
The Seasiders boss said he was pleased with the overall performance but admits his team lost its belief after Ricardo Vaz Te's late strike gave the Hammers a precious lead.
Holloway added that he will rue his side's missed chances through Stephen Dobbie and Alex Baptiste but congratulated his opposite number on his team's triumph.
"Well done to West Ham. It looked like it was going to extra-time," he told Sky Sports.
"I was very pleased with our performance overall; I think when they scored we lost it a little bit, lost our shape, lost our belief. I asked them to do certain things out of time.
"Like my lot, they went out in the second half, fantastic performance, and we'll be rueing the day we missed a couple of chances, but that's life."
Holloway hinted that there was a foul in the build up to West Ham's winner but chose not to dwell on the incident.
He continued: "I thought the second [goal] looked as though there was a foul, but listen, at the end of the day they've just scored on 88 minutes so I've got to appeal for something.
"We've got to bounce straight back, and they should be very, very proud of their efforts, and I'm very happy to be a small part of that" - Holloway
"Some times in life it goes against you, and it did that time. All you can do is congratulate the opponents, I thought we gave a great account of ourselves today.
"On another day, we've created more than enough chances to have done what we needed to do, but unfortunately we didn't."
Holloway finished by saying his players must get over the defeat and what they could have achieved, saying they deserved better for a season worth of effort but need to now bounce straight back from the disappointing defeat.
"We've got to get over playing in the Championship again, because we were all hoping we'd be playing in the top flight and things can change," he added.
"They've just lost a great big bonus that makes a lot of their money up. I feel for them because they deserve a lot better than what they've got this season.
"Being in this level, to have to win it to get a fair amount of money that the other people are getting paid isn't right in my opinion, but such is life.
"We've got to bounce straight back, and they should be very, very proud of their efforts, and I'm very happy to be a small part of that."