Argentina will face Germany in Sunday's showdown thanks to the exploits of Romero, who saved from Ron Vlaar and Wesley Sneijder in the 4-2 penalty win, which came after a scoreless 120 minutes in Sao Paulo.
Van Gaal knows all about Romero as he signed him for AZ Alkmaar from Buenos Aires-based Racing Club in 2007.
The Argentinian spent two years working under Van Gaal before the Holland coach departed for Bayern Munich.
After the match, the Manchester United manager in waiting admitted he was indirectly involved in Holland's demise as he schooled the stopper during his time in Holland.
"I taught Romero how to stop penalties (at Alkmaar), so that hurts," the Holland coach said.
"We were the club to bring him to Europe.
"He was a big talent, and someone who has the qualities to do that."
Van Gaal's team were favourites to win the penalty shootout. The Oranje did not miss from 12 yards in their quarter-final shootout against Costa Rica.
But Van Gaal struggled to find enough players to take the spot-kicks in Sao Paulo, which surprised him greatly.
"It should give you confidence. We took those penalties in an incredible way against Costa Rica," Van Gaal said.
"But the issue is you score the first one and I asked two players to take the first ball before ending up w
"I thought he was the best player on the pitch so should have a lot of confidence.
"It just goes to show it's not easy scoring in a penalty shoot-out.
"It's the most terrible scenario, to lose on penalties: at the very least we were equal with them, if not the better team.
"It's a big disappointment."
Tim Krul was the penalty hero for Holland against Costa Rica, coming off the bench to save two penalties.
But this time Van Gaal kept faith with Jasper Cillessen, who has never saved a penalty before.
When asked why he did not swap Cillessen for Krul, Van Gaal replied bluntly: "I'd already used three substitutes, so I couldn't."
Holland breezed through the group stages and defeated Mexico before overcoming Costa Rica.
Van Gaal was happy with his team's overall performance in Brazil.
"We played a fantastic tournament," he said.
"No one had expected us to make it through to the next phase, so as group winners we moved on and, after that, defeated Mexico - a team who are not easy to beat and are solid in terms of their organisation.
"Argentina are a top country with top players. We didn't lose against them, but the penalties are down to luck."
Argentina coach Alejandro Sabella was delighted to lead his nation to their first final since 1990.
He said: "We've made it into the final and crossed the Rubicon.
"I'm very happy. I am happy for the players, who are an extraordinary group; for the coaching staff; my family; for all those who, one way or another, have helped me work.
"But this is mainly for my family, my staff, the Argentine Football Federation and all those celebrating in
"We've made the story."
Germany crushed Brazil 7-1 on Tuesday to reach the final.
Sabella believes the Germans will prove to be formidable opponents.
"I have great admiration for them," Sabella said.
"The Germans have always shown physical might, tactical powers, mental force and have always had the players with a certain South American touch like (Felix) Magath, (Lothar) Matthaus, (Franz) Beckenbauer.
"They have been planning for a long time. They know about organisation.
"The match is extremely difficult, and they haven't played extra-time when we've played two. In 1998 we beat England in extra-time and lost against Holland in the heat of Marseille, and it harmed us. We have to recover and work to make sure we are ready."