The French champions succumbed to a solitary goal from their own academy graduate Kingsley Coman, as Bayern Munich won their sixth European crown.
PSG won four domestic honours last season but fell short on the biggest European stage. Al-Khelaifi believes significant improvement has been made this season and is adamant the Parisians will soon bring home the most coveted trophy in club football very soon.
"We're sad, [but] we don't forget that we've done great things this season," he told RMC Sport.
"In the final, we lost 1-0 but we could have scored two or three goals. It was very close.
"I am very proud of my players. We had a great season, a great tournament here. We had everything we needed to win, but that's football. We will work to win next season. Tonight, we believe in it more than before. I promise we're going to win the Champions League.
"The players, honestly, everybody's coming out with their heads held high. They've created something. We played against the great Bayern - that's something. They're one of the best teams in the world. We lost 1-0. That's football.
"You have to improve on little things. This is our first final, Bayern's 11th.
"We had a great season, we reached the final, we won four trophies. We're sad, we're disappointed, but there's a positive side. We'll go back one day, we'll work for it. It wasn't easy to reach the final. We're going to do everything we can to win this trophy."
