Brady's three children -- Vivian, 5, John, 10, and Benjamin, 8, -- were visibly upset after watching his team lose.
"That was the first time that I'd seen my kids really react in that way," Brady, 40, said on his Facebook show "Tom vs. Time."
"You know, Benny was crying, Vivi was crying and they were sad for me and sad for the Patriots. But I just said to them, 'Look you guys this is a great lesson. We don't always win. We try our best and sometimes it doesn't go the way we want.'"
The superstar quarterback will join "Good Morning America" Monday to discuss his team, their season and his outlook moving forward when the final episode is released on Facebook Watch.
Watch Tom Brady live on "Good Morning America" Monday in Times Square.