The defender stepped up in the final round of the shootout before sudden death needing to score, but failed to hit the target as Liverpool secured their first trophy since 2006 despite a brave comeback from the Championship side.
"One was going to be sad and one was going to be celebrating," Gerrard told the BBC.
"It happens, I've got mixed emotions at the moment – I'm delighted to win the cup for our supporters but I feel for Anthony and Cardiff.
"It doesn't matter what I say to him at this time – I know he's going to be down, I've been there when I scored an own goal against Chelsea. I'll be there for him after the game and all the family will be behind him."
Dirk Kuyt looked to have won the game for Liverpool in extra time, but Ben Turner scored a stunning equaliser to send the match to penalties.
And Gerrard admitted Liverpool have made a habit of making it difficult for themselves in big games, having famously come from behind in both the 2005 Champions League final and the 2006 FA Cup final to win their last two trophies.
"It's always cruel when it goes to penalties," Gerrard admitted.
"There has to be a loser, but Cardiff were superb today. Their supporters were fantastic and they can be proud of their performance, but we've got through by the skin of our teeth.
"We always do it the hard way for some reason and we've done it again."
The 31-year-old insisted that he remained confident Liverpool would fight back after falling behind in both the match itself and the penalty shootout.
"When you go behind you do worry but I was confident if we kept passing the ball well we would get back into it," Gerrard said.
"The keeper has made a fantastic save from my penalty and Charlie changed his mind just before he took his. But we have the best keeper in the world so you always have the chance to get back.
"The important thing now is to enjoy this cup final and then build on it - we won't just accept this, we want more and need more."
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