Italy reached the World Cup qualifiers play off final and faced Bosnia and Herzegovina.
The game ended in a 1-1 draw and after extra time, the winner was decided on penalties.
Bosnia won the qualifiers with a 4-1 score and are heading to Mundial 2026.
“We did not deserve this. We show passion, we played with 10 men since minute 40… we are sad, but this is football,” said Gattuso.
“I’m proud of my team. We are hurt”.