final in front of 35,000 stunned fans at the Premadasa stadium.
Having restricted the West Indies to a modest 137-6, Sri Lanka fell woefully short with the bat and were out for 101 in 18.4 overs in a match they were favoured to win.
It was Sri Lanka's fourth successive loss in a major final, having stumbled twice in the title clash of the 50-over World Cups in 2007 and 2011 and also in the World Twenty20 in 2009.
Jayawardene, who announced after the final that he was stepping down as Twenty20 captain, was "disappointed and hurt" at not being able to replicate the country's 50-over World Cup triumph in 1996.
"As a team we gave everything we had," he said. "We wanted to win a big tournament to give something to the fans who have been cheering us.
"We just did not execute a good game plan and we were not ruthless enough. We are very disappointed that we could not give the fans what they wanted, and that hurts a lot.
"We need to sit together, have a chat on what went wrong and then move on."
Jayawardene said the all-round effort by Marlon Samuels, who smashed 78 off 56 balls and took 1-15 from four steady overs of off-spin, took the game away from Sri Lanka.
Samuels' hit six sixes and three fours to lift his team to 105 runs in the last 10 overs after they were reduced to 32-2 from the first 10.
"In the pressure situations we could not control the match," said Jayawardene. "Samuels batted really well and he took it away from us a little bit.
"We did not react well when we were put under pressure. When those small mistakes add up, that's where you lose a match like a final, and that's what happened to us.
"But all credit to the West Indies. They played a good game of cricket in a big final and we did not."
Jayawardene said it was hard to explain the defeats in four successive finals.
"Every defeat has been different," he said. "In a couple of the finals, we did not start well and kept chasing the game, but in this one started really well.
"We did not have any momentum chasing the target. We needed a couple of partnerships, which we did not get. The West Indies handled the situations better than us.
"We have been playing some really good cricket but unfortunately we have not been able to cross that hurdle. As a player, as a cricketer and as an individual, it hurts a lot.
"But you just have to move on and see how well we can get over this and keep fighting again," Jayawardene, who will remain the Test and one-day captain, said.
Sri Lanka are due to host New Zealand in November, before touring Australia in December-January.