The Bianconeri were held to a 0-0 draw in the semifinal second leg, meaning that Jorge Jesus' team progressed having won the opener 2-1 in Lisbon.
Conte was upset with the officiating in the match and believes Juve - which will miss out on the chance to play in the Europa League showpiece at its own ground - was the more worthy finalist.
"We reached for the dream, but we could not make it happen," he told Mediaset Premium. "Benfica was extremely obtrusive and the referee allowed it. This affected us.
"There were only 40 minutes of actual play, and the average is around 60 minutes. There were continuous stops to the game and time wasting, especially in the second half.
"Benfica showed all of their experience, they've been doing this in Europe for a long time and this evening they showed they were able to handle it.
"We deserved much more but this is football. We must keep our heads up, my boys put in all of their effort. Now we will focus on Serie A, on Monday we can conquer our third consecutive Scudetto.
"We gave everything, I did not like the obstructive attitude of the opponent and the referee who allowed it to happen."
Benfica will face Sevilla, which defeated Valencia in dramatic fashion on away goals, in the final on May 14.