Fenerbahce levelled the scores to go 3-1 up on aggregate, from which Lazio were unable to recover.
"We're really disappointed because we were so close after our goal," UEFA.com quotes Kozak as saying. "We really wanted to get another. Then they just had one shot on goal, and it went in and that was decisive.
"Things didn't go our way. I don't think they were any better than us. Maybe we should have calmed things down a bit, but we wanted to attack instead and we were really motivated, and then they scored and that was it.
"Now we've got to look ahead. We've got Juventus on Sunday and we've got to think of that, think of the league. Further ahead, we've got the final of the Coppa Italia and we've got to keep on fighting."
Lazio coach Vladimir Petkovic does not believe that his side could have done any more in the game.