Simeone has led Atletico to the UEFA Champions League final twice in the last three years, but lost to Real Madrid on both occasions.
There latest disappointment came on Saturday night in Milan when they lost 5-3 on penalties to Real after playing to a 1-1 draw, leaving an emotional Simeone distraught.
"Do I have to continue with Atletico or is it the end of a cycle? I have to think about that," Simeone told reporters. "It (defeat) puts a lot of years on you. Congratulations to Real Madrid - once again they were superior to us, this time at penalties.
Although they hung in the contest, Simeone says ultimately his side did not deserve to win.
"We started the game badly, then we got ourselves organised from the 20th minute,” he said. “In the second half we could have equalised very quickly but our intention was clear.
"What really hurts me is to see the hurt of the people who've paid to come here - I feel a bit responsible that I wasn't able to give them what they wanted. That's what really hurts. I feel responsible for the fans who have bought their tickets.
"I'm proud of my players, they've made an extraordinary effort, to beat Barcelona and Bayern Munich (in earlier rounds). The effort was really tremendous."