Leinster finished the regular season atop of the Magners League table but Cheika admitted they simply didn't perform when it mattered most.
"I think we're just disappointed that we didn't play well enough for a final," said Cheika, after tries from Tommy Bowe and Lee Byrne won the day for the Ospreys.
"That was the key thing. In these games, you have to take your opportunities. We had enough opportunities to build some pressure on the opposition that we didn't take. We eased that pressure tap off the opposition and they took advantage and took their chances. That was the difference.
"There's no excuses. Two teams went out there; the Ospreys played better than us and they deserved to win.
"We've become a team that can say, 'we played well' or 'we didn't play well' - we take it on the chin and try and get better and we can't do that in a final when the next time comes."
Cheika, who was in charge of the Dubliners for the final time before departing for Stade Francais, felt his team simply made too many mistakes to beat a side of the quality of the Ospreys.
The Australian pointed to errors in the offload in particular, as well as a failure to turn pressure into serious points.
"I think we lost the ball too much," added Cheika.
"In the first half, we lost the ball far too much. We had a lot of good opportunities to start the play in their territory or around halfway but, by losing the ball so much, we ended up playing the majority of the half within our own half or 40 metres from our own tryline.
"That pressure eventually told because if you keep giving opportunities to a team like that, they'll take them.
"Early on, I'd say we had a fair bit of pressure on them but when we released that pressure they were able to convert points. When they released pressure off us, we weren't able to convert that into tries.
"We got a few goals, got ourselves back in there and just stayed tough like we have all season but we weren't able score enough points to put them back under pressure.
"A lot of our mistakes were in the offload and that probably wasn't the strategy. Maybe guys were think about promoting the ball so we could get a score in a final and put the other team under pressure when maybe we just needed to be a bit more secure in driving the ball up.
"You never go into a game trying to make mistakes but sometimes, in the heat of the game, you try things and they don't come off. It's about knowing when to say 'ok, I'm not going to try anymore, I'm just going to take this ball and go forward'.
"We left a few too many loose ends for this level of football - that's the honest truth of the matter."
Leinster lost back-row players Kevin McLaughlin, Stephen Keogh and Shane Jennings to injury during various stages of the game but Cheika refused to blame bad fortune for the defeat.
Instead he praised the performance of an Ospreys side whom he saw as far more clinical than his own squad.
"It wasn't great (losing McLaughlin, Keogh and Jennings) but that's the way it goes sometimes in footie. The back row changes don't make people drop the ball. The guys that came on did their best.
"We showed lots of heart because we stayed in the game when we weren't playing well. We couldn't the try to get past them and that's the way it works out.
"The best team won, most definitely. They took their opportunities when they came.
"We know that we can do it but today we didn't bring our A game when we needed to bring it."
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