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The Ukrainian forward, who missed the decisive penalty in that tense shoot-out, has also admitted that he would wake up "screaming" in the middle of the night thinking about it.
It was a night to forget for Shevchenko and his Milan teammates, despite a wonderful start to proceedings.
Two goals from Hernan Crespo and a rare finish from Paolo Maldini put the Italian giants 3-0 ahead at half-time and many thought it was game, set and match.
The miracle of Istanbul was complete when Rafael Benitez's side won on penalties. It was a day like no other.
15 years ago today, Liverpool did the impossible in Istanbul :trophy:- ESPN FC (@ESPNFC) May 25, 2020
Winning the Champions League final after being 3-0 down against an AC Milan side with Crespo, Kaka, Pirlo, Seedorf, Maldini and Cafu.
Shevchenko has recently opened up about that defeat and it sounds like he still hasn't recovered from the heartache of Liverpool's magnificent comeback.
The 44-year-old also revealed what captain Paulo Maldini told the players at half-time.
"The wound is still bleeding." he told Corriere della Sera. "It bothers me that they said that we were carried away by the euphoria.
"Maldini said at half time to be careful. The first months after the final I would wake up screaming in the middle of the night thinking about it."
Shevchenko, who is currently the Ukrainian national head coach, says he would have done things differently looking back.
He added: "Now that I am a coach I think about those minutes in which we scored three goals.
"It is not a criticism of Ancelotti, but I would have stopped the game, changed something."
Thoughts on his recent comments?
Let us know in the comments.
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