Yu Darvish is opening up on his World Series nightmare -- telling TMZ Sports he feels terrible for blowing his big moment.

"Dodger fans ... they expect we won the World Series. I couldn't do it. I still feel sorry," Darvish told us out in Beverly Grove.

Darvish -- who couldn't have been nicer to our photog -- says he gave everything he had to try and win ... but just came up short. Sucks, but Darvish told us he's soldiering on.

The big question -- will Darvish (a free agent) re-sign with L.A.??