A first half penalty from Eden Hazard proved to be decisive for the Blues after the Belgium international was brought down in the box by Phil Jones. Despite rallying after the break, United were unable to claw their way back into the game and were forced to leave Wembley empty-handed.
And Lingard was left with a sour taste in his mouth at full time, admitting that he felt Manchester United had done enough against Chelsea to lift the FA Cup.
"Don't know what to say, worst feeling I've felt in football to date," Lingard wrote in a message on his official Instagram account.
"We didn't deserve to lose but that's football. The fans have been amazing all season they have stuck by us through the ups and downs and I can only say thank you.
"Quick turn around for the world cup so looking forward to meeting up with the boys and doing the best we can in the tournament."
The 25-year-old will be eager to forget the heartache of missing out on an FA Cup winners medal this season as he prepares to meet up with the England squad ahead of the World Cup in Russia.
His selection for Gareth Southgate's squad came as no surprise for fans across the country after what has been a stellar campaign for the attacking midfielder. Lingard featured in 47 games across all competitions this season, scoring 13 goals and claiming seven assists.