The veteran Juventus defender canceled out Luke Shaw's opener in the 1-1 draw and then converted a penalty during the 3-2 shootout win to help the Azzurri lift the trophy for the first time since 1968.
A mixture of COVID-19 restrictions preventing fans from travelling to England from Italy and the hosts reaching their first major final since 1966 meant the crowd at Wembley was overwhelmingly in favour of Gareth Southgate's side.
"We are just enjoying seeing 58,000 people leaving even before the trophy presentation, it was something which really delighted us," Bonucci said after the match. "The trophy now is coming to Rome.
"They thought it was staying here in London, and they're unhappy. I feel bad for them, but once again Italy has given them a lesson."
He grabbed a TV camera and shouted: "It's coming to Rome, it's coming to Rome" -- a reference to England's "Football's Coming Home" anthem, which was played before the match and chanted by supporters throughout.
"We heard it day in day out ever since Wednesday night, since the Denmark game, that the cup would be coming home to London," Bonucci said of the chant. "Sorry for them, but actually the cup will be taking a nice flight to Rome and that way Italians all over the world can savour this competition. It is for everyone, we said from day one it was for them and for us."
Donnarumma, who was the hero of the night by saving two penalties in the shootout, was named Euro 2020 player of the tournament by UEFA.
"If I'm the best player of the tournament it is thanks to Bonucci and [Italy captain Giorgio] Chiellini," Donnarumma said. "We are a fantastic squad and we deserve this. England's goal could have killed us, but we are a team that never gives up."
Chiellini, 36, said he was proud he and Bonucci, who are the only two remaining players from the Azzurri side that lost the Euro 2012 final to Spain, are now a part of Italy's football history.
"We did shed a few tears," Chiellini said. "We, the older, and the younger ones, we deserved it.
"I think at this age we are realising even more what a victory like this means. To remain in the history, having seen [photographs] of Fabio [Cannavaro] all these years at [Italy's headquarters in] Coverciano lifting the  World Cup, and now we are doing the same."