Norway won 4-1 at San Siro stadium last night to reach the World Cup, with Italy now facing a playoff in March to make next summer's tournament.
Commenting on the result, Graziani said on RAI 1: "I hope we're not the same as tonight. The first half was excellent, it gave us hope, and winning was important. It saddens me that this team, when it struggles a bit, can't recover.
"And this is something (coach Rino) Gattuso needs to carefully evaluate. If we continue like this, we're really in danger again.
"Beyond the deserved first place, in the second half we saw a different Norway. And that's a team that's stronger than us. We need to admit that and understand that we have more to give and little else to say."
On Manchester City striker Erling Haaland, who scored twice on the night, Graziani added: "We don't have anyone of this calibre.
"This guy plays for one of the best teams in the world, he sees the goal like few others... We don't have someone with this instinct, who can catch you if you make a mistake. These strikers are a world heritage. If only we'd had one, we could have won."