The Stadio Friuli outfit lost 2-0 in the second leg of their last-four encounter against Fiorentina on Tuesday, with goals from Manuel Pasqual and Juan Cuadrado subjecting them to a 3-2 defeat on aggregate.
Two last-gasp chances to send the match to extra time went begging and Silva feels fortune was not with Udinese.
"We didn’t have much luck on our side," he said. "We were unlucky not to have scored, and getting that goal would have made a difference.
"I thought we did well, and we have to continue along this line.
"Obviously it’s disappointing not to be in the final, but now we have to concentrate on doing well in the League.
"We need as many points as possible from now until the end of the season, and that won’t happen if we feel sorry for ourselves."
Manchester United eyeing surprise move for AC Milan star for whom tension in Italy is growing: report
‘Even though Kevin Keegan was my boyhood hero, we never really saw eye-to-eye. That was an underwhelming time for me – I felt on the outside’: Newcastle cult hero reveals disappointment over how things went under King Kev
