For the sixth time, England bowed out on penalties, losing 4-2 to Italy after their Euro 2012 quarter-final had finished goalless.
This time, they even managed to get their noses in front before Ashley Young and Ashley Cole failed with successive kicks to leave Alessandro Diamanti to belt home the winner.
"It was a horrible way to go out," said Rooney.
"We are all gutted.
"It was a tough game and we all worked hard, so to lose on penalties is a horrible feeling for everyone."
But he added: "We can hold our heads up high. There are a lot of young players in the squad and that will help them in next tournament."
Although manager Roy Hodgson was understandably disappointed at his team's plight, he could have few complaints.
Other than one Glen Johnson effort in the opening stages, England created barely a chance of note.
In contrast, Italy peppered the England goal at regular intervals and, in Andrea Pirlo, had the game's outstanding player.
"It's a sad moment," said Hodgson.
"It is always difficult after a defeat, but the support we received today [Sunday] was really quite incredible, from the first minute to the 120th.
"The mood back at home and the feeling we have being supported back here has made the defeat even harder.
"We so much wanted to stay on and give the fans a reward for the support they've given us.
"I couldn't ask any more than the players gave tonight. They gave their all.
"We have to accept we weren't quite good enough to win it over the 120 minutes and, in the shootout, we went down the same road we've been so many times before."
England were like walking wounded at the end, with Scott Parker's Achilles problem forcing him off during extra-time and Steven Gerrard battling to overcome cramp from before the end of the 90 minutes.
Watch: Italy defeats England on penalties.. More Videos
"We tried our best," said Hodgson.
"We worked as hard as we could and survived the cramps and the physical problems that one or two players suffered.
"We weren't playing for penalties but our defending was very resolute and we did very well, especially during the strong spell of pressure in the second half, to hold out and give ourselves a chance.
"Unfortunately it was a chance we couldn't take."
And so Hodgson was left to lament a lack of the composure from the spot so obviously shown by Pirlo, who chipped his effort in the calmest manner possible.
"It has become an obsession for us in English football," he said.
"They'd all done extremely well in practice.
"But you can't reproduce the tension, the occasion, the nervousness.
"This sort of cool, calculated way that Pirlo had to have the confidence to chip the goalkeeper - you either have that as a player or you don't, and no amount of coaching or training will help produce that."
Winger Theo Walcott could only express his sorrow after seeing his team-mates finish the evening in such sad circumstances.
"It's a very cruel way to go out in any competition but someone was going to go out and luck did not go our way," he said.
"The two Ashleys are strong enough lads to come back from this and the lads will be with them.
"They are two of the most experienced players in that dressing room and they will bounce back from this even better players.
"I do not worry about that at all.
"We have got to look forward to the future. It is going to be bright, I am sure of that.
"The World Cup qualifiers are going to be tough. We have to learn some lessons from tonight as that is important for the young players - me being one of them."
Pirlo could not disguise his happiness, though, as he looked ahead to Thursday's semi-final with Germany in Warsaw.
"I'm very happy to get the man-of-the-match award, but the most important thing is the side have gone through to the semi-finals," he said.
"We deserved to do so.
"Now we have a semi against Germany to come, and we're all hopeful of getting through right to the end of the tournament."