The PSG No1 was the Azzurri's outstanding player as they lost 1-0 on Thursday.
Donnarumma later said: "We weren't phenomenal before, we're not bad now. We need to improve
"We should have done better, we should have kept the ball better. It's a shame but we don't worry, we don't get discouraged because we have a great opportunity with Croatia. Now we start working again, let's stay positive for Monday's match".
He also said: "For me, we should have managed the ball better, we should have done much better in possession. We know this and we need to improve on this: a quality team like Spain hurts you if you lose a lot of balls coming out.
"We need to work to manage these situations better. Spain deserved to win, they were better at managing the ball and possession. On the contrary, we weren't good in this phase.
"We just need to improve some things to better manage the game and we will do it, the team is aware of it. We need to work, against Croatia we have a great opportunity and we don't want to waste it. We never give up, we are Italy."