Marseille, chasing their first title since lifting the European Cup in 1993, led twice courtesy of two Djibril Cisse goals but Sochaux struck back each time for a 2-2 draw after extra time before winning a shootout 5-4.
"We didn't show enough character", Diouf said after the game at the Stade de France. "We were leading 2-1 in extra time. The game was going our way but we did not have the will to go for it and fight until the very end."
The most decorated club in French soccer, eight-times champions Marseille have won the Cup a record 10 times, the last time in 1989.
Stripped of the 1993 league title over a bribery scandal, they have not won anything since beating AC Milan 1-0 in the 1993 Champions League final.
"It would have been a very important victory for Marseille," Diouf sighed after Sochaux ruined his hopes of ending a long drought.
Marseille have become experts at losing finals in recent years with UEFA Cup final defeats by Parma and Valencia in 1999 and 2004 and a French Cup final defeat last year by arch-rivals Paris St Germain.
Coach Albert Emon blamed a crowded calendar for Saturday's defeat, pointing out that Marseille had to play two league matches in the week before the final.
"I don't want to stir controversy but that is a problem," he said.
What Marseille are really dreaming of is to end the supremacy of Olympique Lyon, who have already wrapped up a sixth consecutive Ligue 1 title. Even if France forward Franck Ribery looks likely to leave them at the end of the season, the southerners have plenty of talent.
Young playmaker Samir Nasri is already being hailed as the new Zinedine Zidane while Cisse appears to be recapturing his best form after recovering from the leg fracture that made him miss last year's World Cup.
The fans in the soccer-mad Mediterranean port are desperate for the glory days to return. In the meantime, all hope their team, lying second in Ligue 1 with two matches left, will finish runners-up to qualify directly for the Champions League.
"We must now fully concentrate on the league," said Emon. "The Champions League is also very important for the club. Our fate is still in our own hands."