Manchester United lost 1-0 to an Eden Hazard penalty, as Antonio Conte's side won football's oldest trophy.
"Don't know what to say, worst feeling I've felt in football to date," said Lingard.
"We didn't deserve to lose but that's football. The fans have been amazing all season they have stuck by us through the ups and downs and I can only say thank you.
"Quick turn around for the world cup so looking forward to meeting up with the boys and doing the best we can in the tournament ."