The custodian feels that, after crashing out following defeat to Portugal, Spain missed out on one of their best-ever chances for glory on the international stage.
Casillas, who described all the players as feeling 'hurt', admits the side let down the thousands of fans who had made the short journey to Portugal.
"We have missed the opportunity to do something great and let people connect with the national team," stated the 23-year-old. "Luck was not with us.
"The results are there for all to see, defensively we were very good, but in attack we were not effective and that meant one goal was enough to put us out.
"It makes you angry, because we had everything in our favour."
Asked whether it had been a failure, he responded: "A failure? No, not a failure, it's a real nuisance because it's sad to be coming home like this."
However, the Real star refused to criticise boss Inaki Saez and insisted he still had the respect of the squad despite the heavy criticism he received for his negative tactics in the Portugal game.
"He was supported by the fans, gave a lot to the team and created a great atmosphere in the squad and deserves a lot of respect," he concluded.
