Besides his directorial debut, "A Star is Born" is also Cooper's first movie where he gets to sing.
"I was embarrassed because I felt I hadn't done my job", he elaborated. However, he added that in the end, it was about making something you believed in and working hard on it. To date, "A Star Is Born" has racked up $417.4M at the global box office.
But one nod the movie failed to receive was that for Best Director - and Bradley Cooper is taking it to heart.
Winfrey said she was "surprised" Cooper wasn't nominated for Best Director and asked him about his reaction to the news. "But it's amusing you ask this, because I've thought about this".
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"It was a very personal thing, this movie, and I really did show myself in a way that I thought, 'Oh wow, this is vulnerable.' And I said to myself, 'If people don't like it, please don't let that stop inspiring you to make art'".
Although the filmmaker isn't up for the award he hoped, he could win for Best Actor, and will actually be performing with Gaga again on "Shallow", which is nominated for Best Song at the Oscars.
"You never know what's going to happen".
Despite the directing snub, Cooper nabbed three Oscar nominations for "A Star Is Born", including Best Actor, Best Picture and Best Adapted Screenplay alongside Eric Roth and Will Fetters.