The Italian side were famously 3-0 up at half time, before the Reds fought back in the second period to eventually lift the trophy after a penalty shootout.
In his autobiography, which is being serialised by the Daily Mail, the Italian international said: "I thought about quitting because, after Istanbul, nothing made sense any more. The 2005 Champions League final simply suffocated me.
"To most people's minds, the reason we lost on penalties was Jerzy Dudek – that jackass of a dancer who took the mickey out of us by swaying about on his line and then rubbed salt into the wound by saving our spot kicks.
"How it happened I don't know, but the fact remains that when the impossible becomes reality, somebody's fucked up – in this case, the entire team."
Pirlo joined Juventus in 2011.