Orient took a two-goal lead into half time at Wembley but allowed Rotherham United back into the match, eventually losing out on penalties.
Slade described the outcome of the game as "cruel", but insists that he is still proud of his team for their efforts throughout the season.
"It doesn't feel too good. It's one of my toughest moments as a manager and it's tough for my players who have given everything, yet again," Slade told reporters.
"It's cruel, it's not like we haven't practiced penalties, but it's all about the moment. You need that little bit of fortune which Rotherham got.
"I'm very proud of the season and the players can be very proud of what they've done."
Orient led League One for almost six months of the campaign, only to miss out on automatic promotion due to some shaky form at the tail end of the season.