The Turin club were previously unbeaten in all competitions this season and Conte believes that his players should be angry with themselves for losing that record.
"I do not enjoy losing, especially in a final," he told Rai Sport. "We ought to be angry. This match has to make us understand that we must always go at 2,000 kilometres per hour.
"Tonight Napoli had something more than us. This is a young group and we must always keep in mind what we needed to do in order to win.
"We also had a few players like Arturo Vidal and Stephan Lichtsteiner who were not 100 percent fit. The regrets are there, because we didn't want to lose."
Conte, who took over as manager last summer, has now won 26, drawn 16 and lost one of his 43 games in charge of the Old Lady.