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.
Manchester City forward Sterling looks back on the summer with a mix of pride and regret and says Gareth Southgate’s side “want to make history”.
“You still have people saying congratulations or something and it’s like… there’s not much to congratulate as we didn’t win,” he 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 came in.”
England are on course to reach next year’s winter World Cup in Qatar, sitting top of their qualifying group ahead of games against Andorra and Hungary.
Sterling made his international debut almost nine years ago and has gone on to score 18 goals in 70 appearances.
Having experienced disappointing early exits at the 2014 World Cup and Euro 2016 under Roy Hodgson, the 26-year-old credits current manager Southgate with improving the mindset and perception of the national team.
“I feel like when I first went into the camp, it was very much them versus us, the media versus the players,” he said.
“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.
“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.”
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