The reigning European champion fell to a surprise 1-0 defeat at home to North Macedonia, with former Palermo attacker Aleksandar Trajkovski netting a surprise winner for the visitor in the 92nd minute.
Italy has now failed to qualify for two straight FIFA World Cups. It will not be able to feature on that stage until 2026, with its only win in the competition since they triumphed in 2006 coming against England in the 2014 group stage.
The defeat to North Macedonia marked an incredible turnaround in fortunes for Italy, who won Euro 2020 as part of a 37-game undefeated streak that ended in October – a month after they dropped valuable points against Bulgaria and Switzerland in their World Cup qualifying group.
Roberto Mancini's side ended up missing out on top spot to Switzerland after two further draws, and their capitulation at the Renzo Barbera was tough for Chiellini to take.
"It's hard to explain. There is great disappointment. We played a great match but just couldn't score," Chiellini said.
"We weren't presumptuous. We were missing something. We made mistakes from September until today and we paid for them.
"I am proud of this team, but it's obvious we are disappointed and destroyed. We have to start again.
"It's difficult to comment so quickly. There will remain a great void and I hope this void will give the energy needed to restart. We have to start against to win again and get back to the top of the European Championship and in four years go to the World Cup."
Veteran defender Chiellini refused to confirm whether the loss would prove to be his final match for Italy, saying "now is not the right moment."