Elimination from the Nations League by Spain arrived on the back of the Carabao Cup final defeat to Newcastle and Champions League elimination at the hands of PSG.
The Holland defender said: "Losing just hurts.
"It was a great football fight, but we are out. That's disappointing.
"We could've made it, but unfortunately, Spain progressed. We showed a good version of ourselves in Rotterdam. We tried to pull that through, and we did that at times."
On Liverpool, Van Dijk also said: “We have to turn this around. It's how football works: in five days you lose twice and the world is sinking, sort of how you can say it, and two weeks before everything was, you know, sunshine and rainbows everywhere.
“We all have to realise is the job is not done for what we have coming up. We have to work our a** for it and everyone needs to realise.”
Van Dijk added, "You play for the biggest prize that you work so hard for from the start of the season when no-one expected us to be challenging for, first and foremost, the Premier League, one of the biggest prizes, and then on the side of that all the other trophies.
“Obviously the Champions League we couldn't get it done, this we lost and the FA Cup we got knocked out. We have nine games to go and I don't think there's any motivation needed to try to get the job done.
“What is needed is that we have to realise there is hard work and and still a job to do. Each one of us, including the guys that maybe don't play as much, guys out of the squad or the young boys, our fans, so nine games to go.”