The Biancoceleste suffered a 3-1 reverse at AC Milan in the quarter-finals of the cup on Thursday.
"We tried to win but Milan is a great team," Reja said.
"To play in three competitions is difficult for us but we really wanted to progress to the semi-finals of the Coppa.
"Now we must put this setback behind us and focus in Serie A and in the Europa League."
Lazio, who face Atletico Madrid in the last 32 of the European competition next month, have won just one of their last five league games.
In their last two league games away from Rome, the Biancoceleste were beaten 4-0 by Siena and then most recently 2-1 by Inter Milan.
Last weekend's defeat dropped the Romans to fifth place.
Chievo, meanwhile, lost 1-0 at home to Lecce in midweek to see their hopes of reaching the semi-final stages of the Coppa for the first time in the club's history come to an end.
"We had chances, especially in the first half, but we didn't take them," said Chievo coach Domenico Di Carlo. "It's a disappointing result for us because we really wanted to progress to the last four."
Chievo head into this weekend's game in Verona on the back of a 2-2 draw at Lecce that dropped them to ninth place.
The Flying Donkeys have not lost at the Marc' Antonio Bentegodi since October 26.
The hosts will be hoping to recover striker Sergio Pellissier, who is doubtful with a muscular injury.