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Captain Harry Kane said England will use their defeat by France to be “mentally and physically stronger for the next challenge” as they headed home from the World Cup in Qatar.
Gareth Southgate’s side have left their hotel in Al Wakrah before their flight home.
“Absolutely gutted,” said Kane.
Writing on social media, the Tottenham forward added: “We’ve given it everything and it’s come down to a small detail which I take responsibility for. There’s no hiding from it, it hurts and it’ll take some time to get over it but that’s part of sport.
“Now it’s about using the experience to be mentally and physically stronger for the next challenge. Thanks for all the support throughout the tournament – it means a lot.”
Speaking about Kane’s penalty miss, former England striker Alan Shearer told BBC Radio 5 Live: “That’s the life of a centre-forward. You put yourself in those positions and it will haunt Harry for the rest of his life.”
England centre-back Harry Maguire echoed his captain’s words, and also paid special tribute to Southgate who has said he will “review and reflect” on his side’s exit with the Football Association before making a decision on his future.
Southgate, who has been England manager since 2016, has a contract that runs until the Euro 2024 finals.
“Last night hurt. Absolutely gutted. Special thanks to Gareth and you amazing fans who kept belief in me. I love my country and I hope we made you proud,” said Maguire.
Under Southgate, England reached the 2018 World Cup semi-finals and the Euro 2020 final before their elimination against the defending champions in Qatar.
Midfielder Declan Rice added: “The greater the talent, the greater the aim. The greater the aim, the greater the pain along the path to reaching it.
“This is all part of the journey to us being successful as a team.
“Thank you to everyone for your incredible support. We gave it absolutely everything.”
England departed their hotel in Qatar at around 12:30pm local time and are expected to land in the UK later on Sunday.
Players waved to fans gathered outside the hotel as they boarded a coach with midfielder Jude Bellingham taking the time to sign memorabilia.
Earlier, FA chief executive Mark Bullingham said the team was “hurting” after the last-eight defeat.
“Like all England fans we feel the pain of losing a quarter-final, along with the coaches, players and support team who are hurting this morning,” he said in a statement.
“Gareth and Steve [Holland] prepared the team exceptionally well throughout the tournament. The players were committed to winning the trophy and were very well led by Harry Kane.
“But sport can have fine margins and on the day, against the current world champions, it was not to be.
“This is a very exciting young English squad and, despite the intense disappointment of last night, they should be very proud of their performances in Qatar.
“We are incredibly proud of Gareth, the players, the coaches and the support team and appreciate all the hard work they put in. “
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