Argentina secured their third consecutive major trophy after triumphs at the 2022 World Cup and 2021 Copa thanks to an extra-time goal from Lautaro Martinez at Hard Rock Stadium in Florida.
Colombia's Jhon Cordoba hit the woodwork early on, while long-range attempts by Jefferson Lerma and Richard Rios were saved by Argentina's goalkeeper Emiliano Martinez.
Santiago Arias and Davinson Sanchez also came close in the second half but it was Argentina who found a way to win in extra time.
Lorenzo told a press conference his players had given their all in the tournament, which was hosted by the United States.
"They played six matches in 21 days. We started feeling the results," he added.
"It's not a complaint, but we hope for consistency, to safeguard the fitness of the players. We played the same amount of games as Argentina, having four less days of recovery.
"We had to play on the West Coast and the hottest areas with all the travelling."
Sunday's defeat was Colombia's first since they lost to Argentina in February 2022 and Lorenzo said his team were just getting started.
"(Lionel) Scaloni has been with his team for seven years. I congratulate him. It is a spectacular result, but now it is not (just) a streak, it is an era," he added.
"We are just starting. Hopefully, we can play in the next final. We wish to qualify for the World Cup."
Colombia are third in the South American qualifying table for the 2026 World Cup, with the next round of matches set for September.