Coach Cesare Prandelli bypassed the 27-year-old forward for the Italian squad to take to Brazil, where they bowed out in the group stages.
Rossi was tied for seventh in the Serie A's golden boot race in 2013-14 with 16 goals, behind Torino's Ciro Immobile (22), even though he missed a large chunk of the season with an ACL injury in his right knee that required surgery.
And the former Villarreal striker said he was still aggrieved at missing out on national selection.
"Not going to the World Cup was frustrating. I had worked so hard to be there," Rossi told ESPN.
"Things did not go the way I expected to but then football doesn't always give you joy."
Rossi said the departure of Immobile to the Bundesliga barely made the task of winning the Italian golden boot easier.
"Last season Ciro Immobile won the Capocannoniere title and he has gone to Borussia Dortmund, so I think I'll be fighting for that award with Carlos Tevez, Gonzalo Higuain and Luca Toni," he said.
Rossi hailed coach Vincenzo Montella and team-mate Gonzalo Rodriguez, the latter signing a contract extension until 2017 in July.
"Vincenzo Montella is a great coach, we all respect him and follow his indications because he understands the needs of us players, having retired not long ago," Rossi said.
"Gonzalo Rodriguez is a leader on the field, a player who is very important for the squad."
