Gianluigi Donnarumma has branded reports that Italy's players demanded a bonus to qualify for the World Cup as hurtful.
The Azzurri lost to Bosnia and Herzegovina in a penalty shootout earlier this month to miss out on the World Cup for a third straight time.
"I was hurt more by the comments [from the media], by the words that were said," the Manchester City goalkeeper told Sky Italia.
"As captain, I never went to ask the Italian national team for a single euro.
"What the national team does, as always, in every competition, is give a gift to the players who qualify for a tournament.
"That was all there was to it, but nobody asked the federation for anything; our reward was getting to go to the World Cup."
The failure of the four-time World Cup winners to qualify, resulted in Italy's football federation president Gabriele Gravina resigning amid political pressure as well as Gianluigi Buffon stepping down as the team's delegation chief.
Italy coach Gennaro Gattuso also stepped down from his role as head coach.
"I had a wonderful rapport with Gattuso, Buffon and Gravina," Donnarumma said.
"I'm especially sorry for them.
"It's only natural that we feel responsible for what's happening.
"These have been very tough, gruelling days -- just as they have been for all Italians who cared so much about the World Cup, as we did.
"Unfortunately, we didn't make it; we have to accept that. It hurts a lot; I've found it very hard to come to terms with it."
- Antonio Conte opens door to Italy national team return
- Italy players will bounce back - Inter Milan boss Cristian Chivu
- Will Italy's Gianluigi Donnarumma ever play at World Cup?
A Euro 2020 winner with Italy, Donnarumma, who has 81 caps for the Azzurri, says Italy must rebuild.
"We have to start afresh, move on," Donnarumma said.
"We have to bounce back; there are four years until the next World Cup, and in the meantime there are major competitions like the European Championship and the Nations League.
"Before thinking about the World Cup, we need to focus on these big tournaments in between and we need to start again strongly straight away."