During an interview with ABC News' "Popcorn with Peter Travers," the "Hillbilly Elegy" star, 73, said she was surprised Fernanda Montenegro didn't take home the Best Actress Award that year for the Brazilian film "Central Station."
"I honestly feel that to be nominated by your peers is about as good as it gets. And then, I've never understood how you could honestly compare performances, you know?" Close admitted. "I remember the year Gwyneth Paltrow won over that incredible actress who was in 'Central Station' and I thought, 'What?' It doesn't make sense."
"So I think who wins has a lot of things to do with how things have been, you know, whether it has traction or whatever," she continued. "Publicity, how much money did they have to put it out in front of everybody's sight. I have to be philosophical about it, if I was upset about it."
Paltrow also took the trophy over Meryl Streep for "One True Thing," Cate Blanchett for "Elizabeth," and Emily Watson for "Hilary and Jackie."
"Shakespeare in Love" would go on to win six other Academy Awards.
Having been nominated for an Oscar a total of seven times -- with her first for 1982's "The World According to Garp" -- Close is accustomed to the buzz that is now following her performance in Ron Howard's "Hillbilly Elegy."
"I’m very proud of the times that my peers have felt that my performance was worthy of attention," she confessed, before referencing the coronavirus pandemic. "But it's so sad if it happens when we're all unable to celebrate in a room together. I mean, that would be ironic, but that's what life does, right?"
"I just hope I can keep finding the parts because a lot of times I think it's about the role," she added.
Back in 2019, Close opened up about holding the record as the most Oscar-nominated actress without a win.
“I keep myself to zero expectations just for my own mental health," she told Vanity Fair. "I don't know if this [attitude] is for my emotional survival, or it just might be who I am, but when I've done a job and played a character that I've felt was to the very best of my ability, and I got deep into the character and lost in that character, that is the most important thing."
"When that character has resonance and connection with people -- that, for me, is the award."
"Hillbilly Elegy" is available to stream now on Netflix.