Spain beat Argentina 1-0 after extra time in Sunday's final in East Rutherford, New Jersey, with Ferran Torres scoring the decisive goal to deny the 2022 champions back-to-back World Cup titles.
The result ended Argentina's bid to become the first men's team since Brazil in 1962 to retain the trophy.
"The pain is immense and it's going to take a long time for this wound to heal," Messi wrote on social media.
"But I'll also hold on to all the good memories… the support of an entire country which, together with the hard work and effort of this squad, led us to be, once again, amongst the best in the world."
Messi, 39, also congratulated Spain and said Argentina could take pride in reaching consecutive World Cup finals. He became only the second player, after Brazil's Cafu, to appear in three men's World Cup finals, having played in the deciders in 2014, 2022 and this year.
The Inter Miami forward remains Argentina's most decorated player, having led the country to the 2022 World Cup, Copa America titles in 2021 and 2024, and the 2022 Finalissima. He is also an eight-times Ballon d'Or winner and widely regarded as one of the greatest footballers.
"Once again, we managed to come together as a country and stand united," Messi added, "sharing the immense pride of being Argentine."
FIFA World Cup 2026
The 2026 World Cup took place from June 11th to July 19th in the United States, Canada and Mexico. The tournament featured 48 national teams and was won by Spain, who beat Argentina in the final.
Full schedule and results | Group standings and bracket | Past winners of the tournament | Our team of the tournament | About the 2030 World Cup