Castleford lost 26-12 against St Helens at Wembley yesterday having lead 12-6 at the interval but being kept pointless in the second period.
It was a second Cup final loss for Shenton, who was also on the losing side for Tigers against Leeds Rhinos in 2014.
The ex-England centre admitted they missed a glorious opportunity to secure the trophy for the first time since 1986 after coming unstuck in blistering conditions at Wembley.
James Roby scored a contentious try in the 42nd minute - it was questioned whether Regan Grace was in touch and also that Mark Percival knocked forward in the build-up - to get Saints back in the contest before Tommy Makinson added the killer blow.
“I don’t think we particularly started the game well but we grew into the game in the first half,” said Shenton, who has now cruelly lost in all four major finals he has played in.
“And we were on top for most of that first half.
“Then to come out and start so slow in the second half was massively disappointing. We let in two very soft tries.
“The first one is milliseconds in it with (Regan) Grace’s feet. Some of those things go for you, some don’t.
“Our reaction to that on the inside was slow. You can’t be like that.
“Just a few areas, we let ourselves down with. - ball control.
“In big games you can’t do that. You have to be able to keep the ball well and go set for set and they managed to do that and we didn’t.
“I think that’s where the game broke down.”
Nevertheless, Shenton - part of the Castleford side that also lost the 2017 Super League Grand Final - believes they can still challenge for a maiden title despite currently being down in eighth spot.
He thanked the club’s vociferous supporters in a 45,000 crowd and added: “They made it very special.
“The atmosphere they created was awesome. It really was.
“It’s a bit different at the moment but that kind of support…
“Losing is never easy but that support at the end, it feels like they have got our backs. And we gave it a good go.
“St Helens are a hell of a team. If you’re not 100 per cent on it it’s very difficult to get a result against them.
“But this season is not done and dusted.”
Long-serving Shenton - who turns 35 on Thursday - is out of contract at the end of the season and has yet to announce whether he will carry on playing.
But he is concentrating on the here and now.
“It’s massive we got to the final,” added Shenton, who also lost the 2011 Grand Final during his two year sojourn with Saints and at Old Trafford with Castleford four years ago.
“It’s massively disappointing we didn’t win but rugby keeps going and we have to fight to get into that top-six now.
“All our focus now is moving past this as quickly as possible and getting back into the league and getting that back on track.
“We have to get over our bumps and bruises, the hit to our egos there - getting beaten in finals is devastating - and move on.
“I don’t really want to say sorry as I think we did give it our all but I am gutted for everybody and we’ll do what we can to try and get something else out of this season.”