The Azzurri lost 4-0 against a Spain side that made history by becoming the first country to achieve three consecutive major international titles.
Gazzetta dello Sport displayed a photograph on its front page of Italy striker Mario Balotelli in tears after the game with the headline: "Like this it hurts...."
Gazzetta conceded Spain were the better side but admitted the Azzurri were greatly hindered by injuries.
Italy coach Cesare Prandelli was forced to make a substitution early on with defender Giorgio Chiellini sustaining a hamstring injury while in the second half, midfielder Thiago Motta was carried off on a stretcher with a muscular injury, leaving Italy with 10 men for the remainder of the game.
Gazzetta added: "The game was decided in the first half.
"We were left with 10 players by the 61st minute.
"The Spaniards dominate to achieve a historic treble."
Gazzetta's editorial "Thanks anyway" applauds the Italians, who reached the final of the tournament for the first time since 2000.
Corriere dello Sport heavily criticised Prandelli for the loss.
The Rome-based sports newspaper claimed Prandelli's tactical plan and the substitutions he made proved a fiasco.
This morning's Corriere dello Sport screams: "Prandelli, but what have you done?"
Corriere considered Spain's dominance as "heavily embarrassing" and added: "Spain sinks an exhausted, unrecognisable and fried Italy to preserve the title of champion of Europe."
It's sub-headline reads: "We were in pieces, they were very strong.
"There was no story."
Corriere's editorial questioned Prandelli's decision to replace striker Antonio Cassano at half-time with Antonio Di Natale, saying: "Cassano was our best player on the pitch."
Moreover, they did not understand why Prandelli opted to replace Riccardo Montolivo with Motta: "Motta sustained a strained muscle after his first touch leaving us down to 10."
Corriere's editorial wrote: "This time the coach has made a mistake."
National newspaper La Repubblica was equally frustrated by Italy's display.
Also displaying a photograph of Balotelli in tears on its front page with the headline: "The big disappointment."
Turin-based sports newspaper Tuttosport expressed pride over the team's performances in Poland and Ukraine.
Tuttosport showed a photograph of Italy captain Gianluigi Buffon after conceding the Azzurri's fourth goal and runs a headline that says: "Italy don't cry."
A sub-headline reads: "Legendary Spain but we return with our heads held high."
Its editorial "We are champions anyway" also praises the Azzurri's efforts throughout the tournament.