Bolton were relegated from the Barclays Premier League after 11 years in the top flight when they failed to get the win they needed to achieve safety at Stoke.
Davies, who has been at Bolton since 2003, admitted it has been one of the toughest seasons for the club after Fabrice Muamba suffered a cardiac arrest and collapsed during an FA Cup tie against Tottenham in March.
Muamba has since made a remarkable recovery but Owen Coyle's side has been plagued with a string of long-term injuries, and while Davies was quick to put Bolton's relegation into context, he regrets that the club's rising stars will miss out on the Premier League next season.
"It could have been so different," Davies said.
"You have to put in context, it's a game. We're absolutely over the moon that Fabrice has made that recovery, it could have been so different.
"Nobody expected him to make any sort of recovery and the recovery he's made is remarkable, but when you're out on the pitch, you have to put that behind you and go out and be professional, and when you're out there nothing else really matters.
"It's been a long hard season. Emotionally we've been up against it and there were the decisions in yesterday's [Sunday] game.
"It's been a long hard battle and massively disappointing for everyone at the club.
"It's going to take a while to get over but hopefully we will get back to the Premier League first time.
"Of course we wanted to be in the Premier League for Fab and for people like Stuart Holden and Lee Chung-yong, and our young players coming through.
"We want them to be in the Premier League so they can play at the best level and we're not.
"It's massive challenge now, can we bounce back straight away? It's going to be tough but I'm sure we can."
The Bolton captain refused to make excuses for his side's relegation after they only won four home games in the league and amassed 36 points.
"I've never been one to make excuses," Davies said.
"I certainly take responsibility as captain for not even getting in the side, and that's disappointing from my point of view. I left it probably too late to get back in the side.
"There's been a number of things. If you look at the way we started the season, we had a great win (over QPR) and then a terrible run of fixtures.
"I always feel you need to get off to a good start in this league and get 10 or 15 points on the board.
"The run of fixtures took a toll on our confidence and then you're always chasing. But we've had opportunities and we've had good sets of fixtures to get ourselves out of it.
"It's been one good result followed by a couple of bad ones.
"We've been in good from the last 10 games but we just haven't done enough over the course of the season."
But despite the disappointment of not securing Premier League football next season, Davies is focussed on making a swift return to the top flight and building towards success in the npower Championship.
"We're still reflecting on what could have been really," he said.
"It takes a bit of time but we've got a few weeks now to reflect and gather our thoughts and start getting our confidence back and looking at the task ahead of us.
"Playing in the Championship is going to be an experience for all of us but when the time comes we'll look forward to it."