"We don't have someone in the team like (Italy midfielder) Pirlo -- it is a great disadvantage for the team. The team can only play with the possibilities they have," Shevchenko told reporters after the 3-0 quarter-final defeat.
Pirlo and Shevchenko were a key combination for AC Milan before the Ukrainian's recent 30 million pound ($54 million) move to English champions Chelsea.
Shevchenko, who hit two goals in Ukraine's passage to the last eight in Germany, said he had been proud to be part of a side playing in their first finals.
"I know that maybe there are inadequacies but the team has a great heart and that's the main thing," he said.
Ukraine went into the match saying they had already achieved their pre-tournament aim of qualifying from the group stage and so go home with their heads held high.
With Ukraine eliminated, Shevchenko -- who won many hearts during his time in Milan -- had no doubts about who he would be supporting to win the World Cup.
"I'm rooting for Italy now," he said.
(Additional reporting by Iain Rogers)
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