Sarri's side took on the Dutch giants looking to earn a place in the knockout stages of Europe's second-tier competiton.
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The Italians needed a point to secure progression, but lost 1-0 on the night due to a goal by Santiago Gimenez.
It left Lazio third in Group F and demoted them to the Europa Conference League after all four teams ended up on eight points, with Feyenoord finishing top.
However, despite the result, Sarri and his side were left even more furious following actions from the home supporters.
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Sarri claims some fans threw bags of urine at the Lazio bench.
The 63-year-old, who helped Chelsea win the 2019 Europa League, did not clarify whether any one had been hit, but says he was left frustrated by the actions.
"There were bags of p*** thrown from the stands down onto the back of the bench," the Italian said.
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"It goes without saying, that is a little irritating."
After the clash Sarri also claims he was also left frustrated by the referee.
"I won't even start on the referee. One player had at least seven or eight fouls from behind on our players, but in the end the only yellow cards were to my team," he said.
"As for their goal, there were two fouls in it, not one. It started with a foul on Matteo Cancellieri near my bench, then Patric was clearly pushed from behind near the goalkeeper.
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"We expected at the very least for the referee to view it again with VAR."