Both teams looked like scoring at several points during the game, but no chances were ultimately converted and the tie was dragged into extra-time and eventually penalties.
It was on spot kicks that England came unstuck, and the former West Brom boss believes his nation's unfortunate history with shoot-outs contributed to their downfall.
"I’d been watching Ashley Young and Ashley Cole smashing in penalties in training but you can’t reproduce the tired legs, pressure and nervous tension"
“When we took it to penalties I was hoping this was our tournament but the practising didn't help,” Hodgson told The Daily Telegraph.
“I’d been watching Ashley Young and Ashley Cole smashing in penalties in training but you can’t reproduce the tired legs, pressure and nervous tension. It has become an obsession for us in English football.
"Of course, because the five penalty takers we had were very good, I can’t fault the players as a lot of them were running on empty. Italy stood up to penalties better than us, [Andrea] Pirlo’s being the example."
Despite an agonizing exit to Italy, Hodgson is confident England have reason to hold their head high, knowing that they gave their all but were ultimately outclassed on the night.
“I thought the chances were there for both teams but, as the second half went on, we tiring very badly and they came at us again and again.
“We have lost and we have gone out without losing a game with our heads held high. We tried our best. We worked as hard as we could, survived the cramps and the physical problems that one or two players suffered.
“Whether we did enough or whether it was good enough, that’s a matter of opinion. But we certainly tried to win it in 90 minutes and then the additional 30 minutes.
"We weren't playing for penalties. Our defending was very resolute and we did very well, especially during the strong spell of pressure in the second-half, to hold out and give ourselves a chance.
“I wouldn't begrudge them their victory but, for long periods, it was an even game and interesting tactical battle.” he continued. “It wasn't quite simply a case of [Mario] Balotelli missing a couple [of chances].
“They’re [England] bitterly disappointed they couldn't take it one step further, but we've got good young players coming through, and this has been important for them.”
England must now look on to their qualifying campaign for the World Cup, which begins in September.