The Rhode Island video game company filed for bankruptcy two weeks ago, The Boston Globe reported.
"One of the going concerns from Day One -- and it was always something that we were cognizant of -- is we needed to raise capital," Schilling said in an interview on a Boston sports radio show. "We tried for a long time to do that and it didn't come to fruition."
Schilling founded the company six years ago with $50 million of his own money.
An additional $5 million to $10 million came from other wealthy investors, and the company received a $75 million loan from the state of Rhode Island to entice it to move to Providence last year.
Its flagship project was an online multiplayer role-playing game code-named Copernicus, scheduled to be released next June.
In its Chapter 7 bankruptcy filing, 38 Studios reported it owed more than $150 million, mostly to the Rhode Island Economic Development Corp., and had less than $22 million in assets.
"I put everything in my name in this company," Schilling said. "I believed in it. I believed in what we built. I never took a penny in salary. I never took a penny for anything."