The Albiceleste saw off the Netherlands 4-2 on penalties in the semi-final to reach the final but were beaten 1-0 by Joachim Low's men in the tournament showpiece in Brazil, with Mario Gotze scoring the winning goal.
Messi was shown various clips from the competition in an interview with Fifa and having had the opportunity to reflect on the game, he admitted he has regrets.
He said: "What can I say? It's a pity, we had so many good chances to win the game. We had the better chances and we'll regret the chances we had but couldn't score for the rest of our lives."
Messi was hailed for his performances in the early part of the tournament but criticised for failing to shine in the latter stages, though he was still controversially awarded the Golden Ball trophy as the World Cup's best player.
The Barcelona star ended the competition with four goals, two behind Golden Boot winner James Rodriguez.
The 27-year-old appeared to suffer something of a World Cup hangover at the start of the new season, with rumours persisting of a dispute with Barca boss Luis Enrique, but he has shaken off a weary end to 2014 by scoring nine goals since the turn of the year.
