A crestfallen Messi confirmed his decision to quit after yet another agonizing near-miss with Argentina, who have now lost three major tournament finals in a row since 2014.
"It's a hard moment for me and the team, and it's difficult to say, but its over with the Argentina team," said Messi, who was also on the losing side in the final of the 2007 Copa America.
"I've done all I can, I've been in four finals and it hurts not to be a champion," the 29-year-old five-time world footballer of the year added.
Argentina goalkeeper Sergio Romero had got the shoot-out off to a dream start by saving Chile's opening spot-kick but Messi then surrendered the initiative by blazing wildly over the bar.
A further miss by Lucas Biglia put Chile in the box seat and they duly held their nerve to win 4-2.
Argentina coach Gerardo Martino had given no inkling of Messi's decision in a post-match press conference but sympathized with his captain.
"He feels the way any football player must feel when he gets to a final and then loses," Martino said.
It was a carbon copy of last year's Copa America final, also won by Chile on penalties after a goalless draw.
"The final result is all that counts and the final result is Chile winning by penalties so there's not much to analyze," Martino said. "We lost the game and we left empty-handed."
Jubilant Chile coach Juan Antonio Pizzi meanwhile said he hoped his side would continue to improve after clinching back-to-back Copa America crowns.
"We're going to enjoy this," said Pizzi, an Argentine.
"I hope the team will continue growing and evolving. This group of players has been really pushing the ceiling of its abilities -- let's hope we continue to keep pushing ourselves to achieve more."
The final had gone to penalties after finishing level at 0-0 after 120 minutes.