The midfielder is unhappy at not being selected for the tournament following his performances at club level this season
The midfielder joined the club on loan from Cagliari in January and went on to become an integral part of Rudi Garcia's side, scoring twice in 17 appearances.
However, despite some strong displays as Roma secured a second-place Serie A finish, Nainggolan did not earn a place in the 23-man Belgium World Cup squad, prompting him to express his displeasure at the decision.
"No one's ever given me anything," the 26-year-old told Gazzetta dello Sport.
"I always achieved everything myself. I deserved to be on the field for the World Cup but Wilmots has made other choices. I've played 38 games - there are some who have played 10 and are going to Brazil.
"I am someone who always fights to win. You can bring the difficulties you've had in life to the football field. To always get the best, you have to give the maximum."
Nainggolan has set his sights on Champions League football with Roma next season as compensation for his World Cup disappointment and has praised the impact of head coach Garcia at the club.
"Garcia has transformed us," he continued.
"Roma is now ready to win something. The mentality, the vision of the game he has brought to the club. In training we always work a lot with the ball and on Sundays you can see - the team plays well and we've been rewarded with results.
"This team is already strong. If we can keep the current squad together and with the return of [Kevin] Strootman [from injury], we can do well. Then playing the Champions League, some more players will come."