Mr Skinner claimed the tournament’s organisers said performing the 1996 anthem at Wembley on Sunday would be "too partisan and not fair to the Italians".
The stand-up comic told Channel 4 show The Last Leg: "There was a suggestion that we sang (Three Lions) on the pitch before the final on Sunday and Uefa said it was too partisan and not fair to the Italians to have that.
"In the opening game, which was Italy versus Turkey, Andrea Bocelli sang Nessun Dorma before the game."
In a statement to the Standard, Uefa confirmed a request for Mr Baddiel and Mr Skinner to perform Three Lions on the Wembley pitch was received on Friday but the closing ceremony had "already been finalised".
"No additional elements can be integrated at this stage due to the very tight countdown schedule and operational complexities ahead of the kick-off," a Uefa spokesperson said.
Uefa added that Three Lions had been chosen as “the fan song” selected by the English Football Association, and will be played during the players’ warm-up, with karaoke graphics on giant screens, "as has been the case for England’s previous matches".
Mr Baddiel and Mr Skinner will perform the song at London’s 229 music venue in front of 200 England supporters ahead of the Euro2020 final on Sunday.
The track has become an anthem for England fans since it was first released in 1996 in collaboration with The Lightning Seeds.
According to the Official Charts Company, it is one of the UK’s best-selling singles of all time and has crept back up the charts during every major football tournament since its release.