The Azzurri suffered a shock 1-0 defeat to North Macedonia on Thursday night, which saw them miss out on a place in the finals in Qatar this winter - failing to reach the World Cup for a second successive time.
Despite dominating most of the match with 32 shots of goal, the hosts could only manage five of them on target.
Aleksandar Trajkovski netted the goal for the Balkan side in second-half stoppage-time with a long-range effort, producing an unforgettable moment that sealed Italy's fate.
The loss means it could be two decades which separate Italy's last World Cup knockout contest and their next.
Their last came in the form of the 2006 final, while the next could well be the round of 16 in the 2026 edition of the competition in the USA, Mexico and Canada.
Just months after lifting the European Championship, the defeat is one of the darkest nights in Italy's football history, and Mancini could not hide his despair.
"I'm more than disappointed, I've nothing to say," commented the boss.
"Something incredible happened tonight. We deserved to win the Euros, now we've been really unlucky… but that's it, that's the reality.
"I'm sorry for the players."
Captain Giorgio Chiellini hopes the result does not effect Mancini's position as manager going forward.
"There is great disappointment," said the veteran centre-back.
"We played a good game, we missed the goal. I'm proud of my teammates. We are destroyed. I hope the future is still with Mr. Mancini."
The defender was also asked if it was the last time fans would see him wearing the famous Azzurri shirt.
"This is not the time to say whether or not this is my last match in the national team."
Mancini gave an update on his own future, but insisted the most important thing is to support the players at such a damning time.
"We will see," he told Rai Sport. "Now I feel too disappointed to speak about my future, we will see.
"I'm sure this team has a great future. I'm supporting these players now more than ever."