Raheem Sterling wants England to make history at the 2022 World Cup (AFP)
The Three Lions were a penalty shoot-out away from winning a first trophy since the 1966 World Cup before being edged out by Italy at Wembley in July.
"You still have people saying congratulations or something and it's like... there's not much to congratulate as we didn't win," the Manchester City forward told Sky Sports.
"That's the great thing within the squad, we're not happy with doing well and putting on a show for the country, we genuinely wanted to come home with that trophy and that's the mentality in the squad now.
"It was class, we went to the final but we want to win, we want to make history, and I think that's the message since day one when Gareth (Southgate) came in."
Since Southgate took charge in 2016, England have also reached the semi-finals of the 2018 World Cup and are well on course to seal their place in Qatar next year with an unbeaten record in qualifying.
"When Gareth came in, he made it very clear what his intentions were, they were to make England challenge on all fronts, make us challenge at Euros and World Cups," added Sterling.
"If we were to do that, we had to change the perception in the media, public and us the players - we all had to be one if we wanted to achieve something with the national team.
"From the moment he (Southgate) came in - he really tried to work on building that relationship with the media and the fans and I think he's done a fantastic job at doing that."
Southgate's men could secure qualification by next week with victories over Andorra and Hungary allied to results in other games going their way.
Leeds midfielder Kalvin Phillips is the latest player to pull out the squad for those two games due to injury with Southampton captain James Ward-Prowse taking his place.
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