Sandow paid credit to the efforts of both teams.
“That last nine minutes hurt us but credit to our boys,” he said.
“We played really well. It’s hard to take.
“It was a great game of football, that’s what rugby league is all about. That’s why we play rugby league on a big stage like this.
“Hull have beat us all year, it’s been close all year.
“They’ve been good all year but they’re a lucky team that always scores off kicks and that hurt us at the end.
“Our D was really good all day but credit to Hull, the better team won. They got that roll on at the end that hurt us.
Sandow made a key interception in the first half and ran 90 metres downfield that led to Warrington’s first try.
“I was watching on the big screen, I didn’t want to run too far,” he said.
“50 metres was enough. Shaul chased really well but it was just lucky enough that Rusty was there to clean it up and score that first try.”
“I thought he did,” he said.
“We could have won it a few times. I think we just didn’t take the opportunities when we needed to.
“All the boys get rushed heads in real big games like that. I had a few rush of heads.”
The Australian described the experience of playing at Wembly as “crazy”.
“We don’t get to see that much, like Origin, back home but to play at Wembley is crazy,” Sandow said.
“Credit to both clubs and the fanbases we had, you couldn’t ask for any more from them. They’ve been great today and all year.”
Sandow said the Cup final defeat will spur Warrington on in Super League to reach Old Trafford.
“We’ve just got to go for the league now,” the halfback said.
“But we have to win some games first. We’d like to be there at the end of the year, that’s a goal.
“It was a goal in pre-season to be here at Wembley and we’ve done that.
“We wanted to win today but there was only going to be one winner, and that was Hull.”