Siqueira argues Benfica 'did not deserve to lose'
In the final in Turin on Wednesday, Sevilla won 4-2 on penalties after the game had remained scoreless through 90 minutes of regulation time and an extra half-hour.
Benfica, who had lost the 2013 final to Chelsea, went down again in the Europa League decider, despite having 14 shots (seven on target) compared to Sevilla's seven (three).
Siqueira declared that the Portuguese club's dominance of the goalscoring chances at Juventus Stadium meant they had deserved the title.
"Defeat never makes us happy but we have to raise your head because we are producing a wonderful period," the Brazilian full-back told Benfica's website.
"Benfica clearly had more opportunities to score. We did not deserve to lose but this is football and we have to accept it."
Benfica have already claimed two titles this season - the Primeira Liga and Taca da Liga - and have a shot at a domestic treble when they take on Rio Ave in the Taca de Portugal on Sunday.
After also suffering defeat in the Europa League final last year, Benfica's veteran striker Lima revealed a 'great sadness' amongst the team but also claimed he was proud of the club's achievements.
"We feel a great sadness," the 30-year-old said.
"We came to the end but could not win, despite the excellent route we travelled.
"We are sad but proud to bring Benfica to another European Final .
"We all wanted this title, there was no lack commitment, but on penalties to Sevilla were happier."