The Dutch scored a stoppage-time equaliser to force extra time, but the wily Croats, who finished third at last year's World Cup, scored twice in the extra 30 minutes to set up a decider against Italy or Spain.
"There were clear moments that showed where we need to improve," Koeman told reporters.
"They were just a bit smarter, a bit more secure in possession, and overall they deserved the win."
Koeman has not hit the ground running in his second term as head coach of the Dutch national team, after succeeding Louis van Gaal following the Qatar World Cup.
In his first games back in the job in March, Koeman's side were crushed 4-0 by France and only laboured to a 3-0 win against minnows Gibraltar.
Koeman said his team had definitely improved from those matches, but they were not yet at the level they hope to reach.
"We clearly had a team now that had the right energy, that put up a fight. That's something we can build on," Koeman said.
"But we played against a Croatian team that showed why it finished second and third at the most recent World Cups. We need to learn from that."
The Netherlands will resume their Euro 2024 qualification campaign in September with matches against Greece and Ireland.
