Speaking to BBC Sport after the game the England captain admitted he was hoping the Three Lions might have been able to reverse their poor record in penalty shootouts but admitted it simply was not their night.
"The players have given everything. I thought we might have the luck in the penalty shootout but it wasn't to be," said the midfielder," Gerrard said.
Roy Hodgson's men were forced to defend for long periods of the game but managed to keep the Italians at bay for 120 minutes of football.
However, former West Ham forward Alessandro Diamanti struck the winning penalty in the shootout after Ashley Young and Ashley Cole failed to hit the back of the net from 12 yards.
"When you get your nose in front during a shootout, you just hope you can hang on but credit to Italy, they got the luck in the shootout," Gerrard stated.
"The lads at the back were fantastic, we have done the country proud but we go home heartbroken and that is hard to take."
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