Rovers put up a good performance but ended up losing 6-5 on penalties to Moneyfields after it had finished 1-1 in normal time in front of 831 supporters at Fratton Park last night.
Baffins had good chances inside the opening 11 minutes, with Blu Boam seeing a shot saved by Steve Mowthorpe and Rudi Blankson heading over from a corner.
Despite matching Moneys for long periods, Rovers had to wait until virtually the last kick to force penalties as Tommy Scutt scored a stoppage-time spot-kick.
Assistant manager Thompson, taking charge for the evening with manager Shaun Wilkinson serving a touchline ban, could not fault his players' efforts.
He was just frustrated Baffins did not punish Moneys with the chances they created.
Thompson said: 'I thought throughout the 90 minutes, especially the second half, we were the better side.
'If you don't take your chances when you get the opportunities - Boam went through in the first half one-on-one with the keeper - there was a free header for Rudi (Blankson). If you don't take them chances then football is a cruel game and it bites you on the backside.
'Full credit to our lads, our last competitive game was in December, we've been preparing for this final the best we can.
'The boys gave it their best shot, it was just one of those nights where luck wasn't in our favour.'
Baffins were missing a number of regular first team players for the final - and came up against a Moneys side full of players with Southern League/IIsthmian League step 4 experience.
And Thompson stressed it was a showing that his squad could take something away from - despite the cruel matter of defeat.
He added: 'They've got some decent players Moneyfields, who have played at a lot higher standard.
'I'm not making excuses, we were under strength tonight, full credit to the lads who came in.
'I thought we dominated second half, I don't think Charlie (Searle) had a save to make second half, but we just didn't finish.'