England’s all-time top scorer Kane, with 85 goals, was asked which missing ingredient was needed to get them over the line.
“I think it’s just in those biggest moments, still being ourselves,” he told BBC Radio 5 Live.
“The Argentina game was so hard to take, because we had a mindset of going to win the tournament, win in our way and our style, and if we lose trying to do that then we will take that.
“The Argentina game was maybe the first game we tried ‘not to lose’ in the last 30 minutes and then we ended up losing anyway.”
Kane has scored 152 goals in 154 games for Bayern, winning two Bundesliga titles.
“I have experienced it at Bayern Munich for example, you don’t fear anyone,” the 33-year-old said.
“You go and be yourself, if a team beats you, shake their hand after and say well done.
“You have an identity that you keep throughout.
“I think with England now that is where we need to look.
“We are very close, we have been very close but ultimately, we don’t need to fear anyone.
“We just need to be ourselves in the biggest moments and hopefully get over the line.”