Corry led Leicester to EDF Energy Cup and Guinness Premiership glory, but his side narrowly missed out on an unprecedented treble as they fell to a 25-9 defeat to London Wasps in Sunday's Heineken Cup Final at Twickenham.
"We're disappointed," said Corry. "We're gutted - it's a tough one. At the moment, the pain of defeat is still incredibly raw. In time, when you can look back at the season, I think we can be immensely proud of the players and the club. Hopefully, as time goes on, that sort of emotion will take over.
"We said all along what a fine line there is between winning and losing. In two finals we were on the winning side, but unfortunately on Sunday, we were on the losing side. We can beat anyone on the day, but sadly that didn't happen on this occasion."
Despite a congested end-of-season run-in and the overwhelming competitive nature of all three domestic and European competitions, Corry recognised that his side had come so very close to registering a remarkable achievement.
"We aim high. Even through the barren seasons, the difference between winning and losing was still very fine. We got a lot of things right this season. I don't know how long it's going to take, but give us an hour, gives us a couple of days, give us a week, but when we do look back eventually we'll be very proud of our achievements this year."