A 2-1 defeat by London rivals Arsenal on Saturday cost Chelsea the second Premier League and FA Cup double in the club's history.
"It’s not a good feeling," the Belgian international told Chelsea's official website (www.chelseafc.com)
"I had the same thing in Spain when I won the league and then lost the Champions League.
That was in 2014 when Atletico won their first La Liga title since 1996 but lost to city rivals Real Madrid 4-1 in the European final.
"The first goal should never have been allowed," he said of Alexis Sanchez's controversial opener for Arsenal at Wembley.
"It was clearly a hand ball. His hands were not in a natural position.
"And then (Aaron) Ramsey was offside because he was interfering in play.
"If Ramsey was not in an offside position, I could go out and touch the ball but I had to stop because he was there."
Courtois, admitted, however, that it was a bad lapse to allow Arsenal a second goal, by Ramsey, immediately after Diego Costa's equaliser.
"We scored the goal. We needed to hold on but we were maybe not paying attention. It was a very hard moment after equalising.
"As a team we were not at our best."
Neither Chelsea, as champions, nor Arsenal, as Cup winners, will hold the traditional celebratory parade through the streets because of security concerns after 22 people were killed in the Manchester bombing last week.
Arsenal had also cancelled a live screening of the game at their Emirates Stadium.
(Reporting by Steve Tongue; editing by Clare Lovell)
