Unai Emery lifted his fourth Europa League title with Villarreal after they defeated Manchester United on penalties after a 1-1 marathon.
However, the 23-year-old admitted his side has under-achieved the expectations.
"Second doesn't count for nothing," the striker said. "Manchester City win the league, we finished second. Doesn't mean nothing. Villarreal won the Europa League, we finished second. For us it's nothing.
"I don't want to hear 'they were so close' because it means nothing. One winner, one loser. Today we lost. We have to find out why and make sure next time we don't lose."
Struggling with a foot injury for several weeks, Marcus Rashford was asked whether he will be able to feature England in the Euro 2020. He answered: "Forget about the foot for now. The disappointment of today, I don't feel the foot."