Usyk retained his WBA, WBO, IBF and IBO heavyweight titles with a split-decision victory over Britain's Joshua, who fared better in the rematch but proved unable to dethrone the champion in an absorbing 12-round contest.
"It's really, really hard for me to say I'm proud of myself. I'm upset, really, deep down in my heart," Joshua told reporters.
"I tried a different style ... in the last fight I wanted to compete as a boxer, but it wasn't good enough, and tonight wasn't good enough."
Joshua threw down two of Usyk's belts after the final bell before storming out of the ring, only to return later and deliver an impassioned speech.
"When you try and do things from your heart, not everyone is going to understand," explained Joshua. "It was just from the heart. I knew I was mad at myself. Not at anyone, just myself. I was like I got to get out here because I'm mad.
"When you're angry you might do stupid things. Then I realised this is sport. I came back and did the right thing."
Joshua's promoter Eddie Hearn dismissed speculation that retirement may be around the corner for his fighter, who has only fought Usyk since last year.
"I'm a fighter for life. That hunger never dies. Fighter for life," Joshua said.
