The Barcelona forward was given the 'Golden Ball' after La Albiceleste's 1-0 defeat in Sunday's final, and Messi admitted that the award meant little to him after their extra-time loss.
The Telegraph quotes him as saying: "I am very angry at the way we lost, so close to the penalties, especially as we had the best chances. I do not care about the 'Golden Ball'. I am just upset by the wasted chances.
"We had the best chances, with Gonzalo Higuain, mine and Rodrigo Palacios. We knew we could not dominate the game but we knew what we wanted to do.
"I'm very hurt at not being able to bring the Cup to Argentina."
Messi scored four goals during the World Cup.