Nonetheless, has targeted wins in both of the club's remaining Barclays Premier League games, starting with their Wembley opponents Chelsea on Tuesday night.
The Blues' beat Liverpool 2-1 on the way to their seventh FA Cup triumph and Agger admitted he was still coming to terms with the fact he travelled back to the north west on Saturday evening with a losers' medal.
"There's not much more to say right now. We are all just so disappointed," he told the club's official website.
"We have got two games left in the season and we have got to try and win them. That is how we will start to move forward. It is difficult right now to think about anything else.
"When you get into an FA Cup final, you really want to win it. Nobody ever remembers the runners-up. Nobody likes to be a loser."
Despite Liverpool's failure to add to their Carling Cup success earlier in the campaign, the Denmark international believes the club is showing signs of progression.
"Can we challenge the top teams next season? Yes, of course. We have moved forward a lot this season but right now the only feelings are of disappointment," he added.
A late goal from former Chelsea defender Glen Johnson secured a 2-1 win for Liverpool at Stamford Bridge back in November and another victory would condemn the west London side to a sixth-placed finish in the league.
Reds' boss Kenny Dalglish had never tasted defeat against Chelsea prior to the cup final, but he does not underestimate a team that has reached the Champions League final under the guidance of interim manager Roberto Di Matteo.
He said: "They got two fantastic results in the Champions League semi-final. They know how to play. They have got experience.
"We might have been a wee bit naive (in the final). They are very experienced - Whatever way they want to play, it is up to us to play against it."
Dalglish is likely to hand a start to Andy Carroll following his goal after coming off the bench on Saturday.
The 61-year-old had some tough decisions to make regarding his selection ahead of the final but he praised the reaction of the unfortunate players who did not make the team.
"His (Carroll's) attitude coming on as a substitute was exemplary," said Dalglish.
"He lifted it. Dirk (Kuyt) - great attitude as well.
"I am sure if we had asked any of the others to come on, their attitude would have been the same as well.
"That is all you can expect. To understand the disappointment of not playing. That shouldn't be taken on to the pitch.
"To be fair, the two substitutes we brought on, they didn't. That is great credit to them."
The performances of some of Dalglish's players at Wembley were scrutinised in the aftermath of their defeat but he is hoping those individuals benefited from the big-game experience.
"You would hope so," he said. "The last half hour, they got more belief in themselves.
"It is a big step-up to get to the level that Chelsea play at from the level we have been playing at. But we gave it a good go in the last half hour."
Liverpool completed a league double over Chelsea last season with Fernando Torres scoring a brace in the match at Anfield before signing for Chelsea only a couple of months later.
A victory this time out would complete another six-point haul from Chelsea and help Dalglish's side push for a seventh place finish, ahead of local rivals Everton.