PSG could not end its wait for European glory in Lisbon, Kingsley Coman's header securing a 1-0 win for Bayern and securing the German club's second treble of Bundesliga, DFB-Pokal and UEFA Champions League triumphs in the same season.
Ligue 1 powerhouse PSG swept the board in France this season, winning all four domestic trophies, but the top prize continues to elude them despite their investment since the Qatar-backed takeover of 2011.
But president Al-Khelaifi said PSG's efforts in 2019-2020 have shown they are closer than ever to European glory.
"We're sad, [but] we don't forget that we've done great things this season," he said. "In the final, we lost 1-0 but we could have scored two or three goals. It was very close.
"I am very proud of my players. We had a great season, a great tournament here. We had everything we needed to win, but that's football. We will work to win next season. Tonight, we believe in it more than before. I promise we're going to win the Champions League.
"The players, honestly, everybody's coming out with their heads held high. They've created something. We played against the great Bayern - that's something. They're one of the best teams in the world. We lost 1-0. That's football.
"You have to improve on little things. This is our first final, Bayern's 11th.
"We had a great season, we reached the final, we won four trophies. We're sad, we're disappointed, but there's a positive side. We'll go back one day, we'll work for it. It wasn't easy to reach the final. We're going to do everything we can to win this trophy."