"It makes me feel bad, even today," he said in an interview with the Sportv cable sports channel, three and a half months after the match.
"Even now, when I lie down and put my head on the pillow, I lament it, I still get emotional and feel sad, because I think we had everything it takes to win the World Cup.
"The most difficult thing was leaving the house. I only left home because (defender) Lucio helped me.
"It took me eight days to leave home. I wouldn't go out for anything, I just didn't want to see anyone."
Julio Cesar said that the coaching staff had produced a giant jigsaw puzzle of the World Cup, divided into seven pieces, which was placed at the head of the table where the players had their meals.
He said that after each match, coach Dunga would have team captain Lucio a piece which he would place on to the jigsaw.
Brazil would have played seven matches if they had reached the final but went out in the fifth.
"That still makes me emotional," said Julio Cesar, widely considered the world's best goalkeeper in the run-up to the tournament. "It was a difficult moment."
