The Argentinian star collected his sixth Ballon d'Or trophy after pipping Virgil van Dijk to the prize in the annual awards ceremony in Paris on Monday.
Five-time winner Cristiano Ronaldo came in third ahead of Mane - one of four Reds players to make the top 10 after their Champions League triumph - in fourth place.
The 27-year-old had enjoyed his best season individually, scoring 24 goals in all competitions for Liverpool, and Messi felt the Senegalese forward deserved a better outcome after a "great year".
"It's a shame to see Mane finish in fourth place,' Messi told French TV station Canal+.
"But I think there have been a lot of great players this year. That's why it was difficult to choose a particular player. But I chose Sadio Mane because he's a player that I like.
"Mane achieved a great year that was exceptional for the entire Liverpool team. That's why I chose him.
"I repeat, there were a lot of very great players this year, so the choice was difficult."