Ulster have ended in the top four, only to lose in the PRO12 play-offs, in four of the past five seasons - three times at the semi-final stage and once in the final.
Pienaar has started at scrum-half in each of those defeats, having originally joined the Irish side in 2010, but claims the latest setback is the most painful to date.
"We've lost a couple of times in play-offs like that, but as a group I think this one hurts the most of them all," explained Pienaar.
"Winning trophies is the goal and that's the sad and disappointing thing about last week
"We were the better team on the day but we lost it at the end there - Glasgow are a quality side who took their opportunities well.
"We keep saying we have to learn, we have to learn, but there's got to be a time where we start learning and win something.
"I do believe that we've got a good squad at Ulster, hopefully competing for silverware and hopefully I can win something before I leave one day."
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Guinness PRO12 Ulster News
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