Mascherano has now finished on the losing side in three Copa America finals -- 2004, 2007 and 2015 -- as well as last year's World Cup final.
The veteran Barcelona midfielder admitted he was struggling to make sense of seeing Argentina crash to a 4-1 penalty shoot-out loss.
"Three Copa America finals, three defeats ... I can't explain the losing streak," a dejected Mascherano said. (Also read: Messi's family heckled by Chilean fans)
"Overall I thought we had a very good Copa America but we have fallen short once again. But you have to give credit to the opponents as well," Mascherano added, praising the tactical nous of Chile coach Jorge Sampaoli.
"We just didn't seem to have that little bit of luck that you sometimes need to have to win in finals. Is it karma? I don't know," Mascherano added.
Mascherano cut a desolate figure in the centre circle as Argentina prepared for penalties, his eyes welling with tears amid excruciating tension at Santiago's Estadio Nacional.
Although the 31-year-old tasted success when Argentina won the Olympic football gold medal in 2004 and 2008, he has never won a major title in the famous blue and white jersey.