Shelton is the only player to lose all three round-robin matches at this year's competition in Turin, with defeats to Alexander Zverev and Felix Auger-Aliassime already eliminating the American before his 6-3, 7-6(3) loss to Sinner.
The American qualified for the Finals for the first time thanks to his best season to date, rising to as high as number five in the world, winning his first ATP 1000 title and reaching the Australian Open semi-final, which he lost to Sinner.
"Tough to finish out the season like this, 0-3 at the Finals," Shelton said.
"For me obviously a great year. A lot of positives. Tennis is full of highs and lows. This will just make me work harder in the off-season, make me even more excited for the 2026 season. But yeah, it stings, for sure."
"I'm not the player that I want to be yet. Not close. There's so many things that I need to work on."
Shelton has now lost eight consecutive matches against Sinner, having earned his only win over the Italian in their first meeting, and has faced the world number two on indoor hardcourt, outdoor hardcourt and grass.
Sinner's win on Friday extended his winning indoor hardcourt run to 29, and Shelton believes the Italian's serve on this surface is what makes him unbeatable at present.
"Different parts of his game are best on different surfaces.
"I think in Australia his ability to build the point, to move you around the court, the groundstrokes come alive. Here, indoor courts, he's hitting the lines a lot on the serve. Pinpoint accuracy. It's easier to serve indoors in general.
"I think his serve makes him really, really difficult here. Obviously the ability to take time away and hit winners from different places, from the baseline, wherever on the court, is a big advantage.
"I guess it's hard to argue that indoor hard court is not his best surface."
Sinner meets Australian Alex de Minaur in the semi-finals on Saturday, while Carlos Alcaraz awaits the winner between Auger-Aliassime and Zverev who play later on Friday.