Once again, a penalty shoot-out proved the Three Lions' undoing following a goalless draw against Italy. Rooney converted his attempt from 12 yards but it proved in vain as United's Ashley Young and Chelsea full-back Ashley Cole failed from the spot.
"It was a horrible way to go out," Wayne confessed. "We are all gutted. It was a tough game and we all worked hard.
"To lose on penalties is such a horrible feeling for everyone but we can hold our heads up high."
Rooney now hopes any lessons learned in Poland and Ukraine will benefit England for Brazil 2014.
"There are a lot of young players in the squad and that experience will help them in the next tournament," he added.
Wayne Rooney was speaking to PA Sport.