The Cork-born forward is likely to be playing his 14th-minute moment over and over again in his mind for a good few days yet after spurning a golden chance to put City in front in the first half.
It was always going to be a game where the first goal was always likely to be huge.
Clarke was sent clear by Mark Marshall, but saw his effort superbly saved by Millwall goalkeeper Jordan Archer, much to his despair.
Clarke said: “It was a long run and I think it took a nick off the defender. It’s fine lines.That’s the whole game.
“We always knew it was going to be the case and we did not want to be on the wrong end of it. It is tough.
“He (Archer) played well. But on another day, they go in. There was one goal in it and you can’t really think about it now, as it is devastating.
“It is too early to analyse anything. We gave it our best; it was always going to be a tight game. So yes, it hurts.
“It is difficult and hurts a lot and all the lads are devastated.
“We gave it our all. We will just have to let it stew and see where we are.
“It is an unbelievable club and the fans are incredible as is everyone involved in the club.”
Offering his thoughts on a tough afternoon at Wembley, loan midfielder Josh Cullen added: “It is hard to put it into words with the overall disappointment we are feeling.
“We probably had the lions’ share of the possession. But they nicked the goal at the end. We are really disappointed and have got to regroup and try and go again next year.”