Kolkata took the match against Mumbai Indians to the last over after putting up 147 for seven on the board.
"It showed talent of the team. The way Mumbai Indians were cruising, and to take it to the last over from there (was good). The team has come a long way from the last three years.
I am extremely proud of the players," said Gambhir after MI overhauled KKR's total with four balls to spare.
Gambhir said that the team were out of the contest after losing four early wickets.
"We lost four wickets in the first six overs, it was the turning point. We did not apply ourselves. We were trying to take more risks, trying to score quickly. In T20 sometimes things don''t go your way. They bowled well, were sensible and stuck to good areas," the Indian opener said.
Gambhir, who played the match after undergoing an MRI scan to assess a shoulder injury, felt all was not lost for the team as they still had the chance to make it to the Champions League later this year through a new qualifying system.
"We still have a chance to qualify for the Champions League. The format of the tournament is such that anything can happen. In the qualifiers we will play against Trinidad and Tobago, one team from Sri Lanka and one from New Zealand."
Gambhir said left-arm spinner Iqbal Abdulla and Manoj Tiwary were the stand-out performers for the team and also lauded Laxmipathy Balaji.
"Manoj Tiwary had a great tournament. The way Iqbal bowled, he was the key player for us. He showed a lot of character bowling in the first six overs. He has a bright future.
"I am also happy with the way Bala bowled. He had only one bad game (against MI when the medium pacer was hit for 23 runs in the final over costing Knight Riders a place in the top two). It can happen to anyone. He's a quality bowler."
Gambhir also gave a thumbs up to the the newly introduced play-off format in the IPL.
"It's a good format. There's always an advantage coming number 1 or 2. We had the chance to be number two had we beaten Mumbai (in Kolkata). Bangalore have a second chance now but it is not easy," he said.
He also praised the team members and said a captain can only be as good as the team.
"I'm lucky to lead such a side. There are no egos. This is something this team is about. A captain is only as good as his team. You can''t be a great captain without great players (playing under)," he said.