The Spaniard was a first-half substitute for the injured Etienne Capoue, but was left disappointed as Palace eased to a 2-1 win at Wembley.
Having seen Hornets captain Troy Deeney head home just after the break to cancel out Yannick Bolasie's sixth-minute opener, Watford hearts were broken when Connor Wickham converted Pape Souare's cross to seal a first cup final berth for Palace in 26 years.
And Suarez, who replaced the injured Etienne Capoue just before half-time, was unable to hide his disappointment at the result, telling Hornets PlayerHD: “We are sad because we have had a good competition, we deserved to be here.
“We had one of the best moments of the game when we scored, then they scored again, which hurt us. It’s sad for everyone and all the Watford fans that came here to watch.
“In this kind of game, the team who makes the least number of mistakes normally wins. They took advantage of their chances, unfortunately we couldn’t win.”
The Eagles will take on Manchester United in next month's final, but despite missing out on another trip to Wembley, the 29-year-old insists his side have to focus on finishing an otherwise successful campaign as strongly as possible.
“We are having a great season, our target was to stay in the Premier League. We have to continue working every day and learn from our mistakes to get better.”
The former Atletico midfielder was impressed by the atmosphere created by Watford's fans at Wembley, adding that they could be pivotal in aiding the team's efforts over the last few weeks of the seaosn.
“The fans were amazing, we need them to be our 12th man.
"They are very important and we want to give them better moments.”
Watford pick up their Premier League campaign next weekend when they welcome already-relegated Aston Villa to Vicarage Road.