Les Bleus started started Sunday's final against Portugal as favourites, but they lost 1-0 to an extra-time goal from Eder.
Deschamps, who has managed the side since 2012, is unsure of what the future holds for him, but is proud of what his players achieved.
"I'm not going to think about myself. I'll need some time to really digest this," he said.
"They are young players who have progressed. I'm very proud of everything this group has achieved. We weren't rewarded but I've had an incredible group to work with and I'm very sad for them.
"This is not the end of the road. Although we're optimistic, it's hard to be so tonight. But it does lead us to think there will be better days ahead and an exciting future."
Portugal lost their main man Ronaldo in the 25th minute due to injury, but they still managed to come out on top to secure their first major trophy.
"We had chances to score, and the last one fell to [Andre-Pierre] Gignac," Deschamps said. "We had chances, as did the Portuguese, but unfortunately they scored.
"We must not throw everything that we've done away, but we threw away a great chance to be European champions - not the only one, but a great one."
