Thompson was hurt in the closing minutes of the third quarter against the Toronto Raptors on Thursday, landing awkwardly when fouled by Danny Green in the process of attempting to dunk.
The five-time All-Star initially headed towards the locker room but returned to the court to shoot two free throws, hitting both to put the Warriors 85-80 ahead.
However, the Raptors went on to win 114-110 and clinch a 4-2 series triumph, with Golden State later confirming a torn anterior cruciate ligament in Thompson's left knee following an MRI scan.
"It's just tough in terms of a guy like Klay that left it all out there. He was playing amazing tonight," Curry told the media prior to the official injury update from the Warriors.
"And to see a freak play like that where he lands awkwardly. I don't know the diagnosis yet, but you think about the person and the guy and how much he loves to play the game and that's the only thoughts you have."
The Warriors had the chance to take the lead in a dramatic finish to the contest, only for Curry's three-point attempt to stay out.
Yet the two-time NBA MVP had no regrets with the attempt from deep, stating: "The shot was one I take 10 out of 10 times.
"We ran a play that was kind of - we got a decent look off of kind of a bobbled catch, and I could see the rim, so I shot it.
"I'll live with that. We always talk about that, myself and Klay, in terms of shots that we take, you live with it. I would shoot that shot every day of the week."