The Bianconeri had not lost a single competitive game under Antonio Conte in 2011-12, but goals from Edinson Cavani and Marek Hamsik, both in the second half, prevented them from adding the domestic cup to the Scudetto win earlier in the month.
"I am thrilled, it seemed unthinkable to beat Juventus this season," Mazzarri told Rai Sport.
"The entire team has done something extraordinary in the last three years. This is an exceptional group that has now been rewarded."
As Napoli failed to qualify for the Champions League next season, Mazzarri's future at the San Paolo has been in doubt, but the 50-year-old insisted that he is not going anywhere.
"I have a contract until 2013 and I intend to respect it," he said. "Let's enjoy this moment, there will be time to think about other things."