Two errors from Loris Karius either side of a stunning bicycle kick by Gareth Bale helped Madrid to a 3-1 win as they lifted the trophy for a third successive season in Kiev, leaving Liverpool trophiless for the 2017-18 campaign.
Alexander-Arnold was widely praised for his performance at the end of a breakthrough season, but the 19-year-old admitted that the personal compliments meant nothing in the wake of a defeat.
"When I walked down the stage with my silver medal past the cup obviously you cannot describe what the feeling is like but it is the closest thing to heartbreak that I have ever had," Alexander-Arnold is quoted as saying by The Telegraph.
"I was just really disappointed. I felt like I let everyone down and I am sure the rest of the lads felt like that as well. You know the fans and everyone wanted us to win it – that was the point of everyone travelling over there and everyone wanted to bring the trophy back.
"Obviously it feels like you have got so far and you are so close to winning it but it slipped through our fingers. In a knockout tournament it is not really about your own performance – it is about the team. So I would rather have had a stinker and got sent off and win it than play well and lose."
Alexander-Arnold is part of England's squad for this summer's World Cup, despite having only made his international debut during their final warm-up game against Costa Rica.