"It would've been difficult for us to draw tonight, never mind win," Shevchenko said in Friday's post-match press conference.
"We faced a very good Italy team who deserved to win. They exploited the opportunities created by their star players."
Ukraine's bid for a place in the last four on their World Cup debut was ended when they were crushed 3-0 by Italy in their quarter-finals game.
But Shevchenko, who had a seven-year spell with AC Milan before moving this summer to Chelsea, said luck had a role to play in this game.
"We played well, we attacked a lot and did everything in our power. We played with a lot of courage," he said.
"To win you need to give everything and be lucky. We were unlucky this evening.
"The only consolation is we've been eliminated by my Italian friends. I'll be supporting them now."
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