The Reds took the lead early on through Tom Lawrence's calm finish, but ultimately fell short as Charly Musonda and then Lewis Baker, with 12 minutes to go, broke United hearts.
Speaking after the game, Keane said Chelsea, who topped the table at the end of the season, deserved to win the contest.
“I thought we were in control of the game for long periods," he told MUTV. "Although we didn’t have much of the ball, they didn’t threaten our goal too much. They managed to get two goals and we didn’t create enough chances on the night, so they probably deserved it in the end. We’re all disappointed.
“We started off really well. We knew Chelsea are a really good team who keep the ball well, and we were missing a couple of players tonight, but there are no excuses. They kept the ball well without troubling us too much, but when the chances came their way they took them. Congratulations to them."
Strike duo James Wilson and Tom Lawrence were both forced off through injury in the second half, leaving Warren Joyce's side with few attacking options with the score at 1-1.
Keane believes the Reds struggled thereafter but insists his side will be richer for the experience and can reach the final again next season.