Rhinos led 8-4 at half-time and were in the contest until 2021 winners Saints scored their fourth try two minutes from time.
Forsell said: “We are all gutted – really, really gutted – but in terms of getting a performance out of the girls, as a coaching group we are really pleased we got that.”
She insisted: “We are really proud of the girls.
“They worked very hard and did exactly what we asked of them and we will learn a lot from it.
“There were a few defining moments in the game, change them and it could have been a different outcome.”
Rhinos created a host of chances, but managed to cross Saints’ line only once.
Forsell admitted: “There were areas where we had the ball and didn’t capitalise.
“I thought our kicking game was excellent in the first half and we probably dropped off that bit in the second half.
“There were some missed opportunities and finals are all about that – take them and you win, but if you don’t you make it difficult for yourselves.
“We pushed Saints close; that’s not what we came here to do; we came here to win, but you have to look at where we are going and the journey we are on.
“The girls are outstanding and I am proud of them.”
The RFL have confirmed this year’s Betfred Women’s Super League Grand Final will be staged at Saints’ Totally Wicked Stadium on Sunday, September 18.
The semi-finals will be played as a double-header at Headingley on Sunday September 4. Super League, which begins next weekend, will be split into two groups, with Saints, Rhinos, Huddersfield Giants, Wigan Warriors and York City Knights in tier one.
Castleford Tigers, the 2019 league leaders and Grand Final runners-up, have voluntarily dropped into group two.
There will be no relegation from the top division, but the second tier Grand Final winners will be promoted. Revised fixtures will be confirmed this week.