Malaysia were beaten 3-1 by South Korea in the quarter-finals on Thursday, having beaten the number one seeds 3-2 in a group encounter on Sunday.
"I think we had a very good match against the Koreans," Frost told reporters. "The whole team fought hard and they definitely did Malaysia proud."
Malaysia got their quarter-final campaign off to a bad start as Goh V Shem and Tan Wee Kiong were beaten 18-21, 16-21 by Lee Yong Dae and Yoo Yeon Seong in the men's double match.
It went from bad to worse for Malaysia in the women's singles event as Tee Jing Yi was defeated 17-21, 12-21 by Sung Ji Hyun.
Malaysia team captain and former world number one Lee Chong Wei gave his country some hope when he cruised past Son Wan Ho 21-17, 21-12 in the men's single game.
But, that was to be Malaysia's only bright spot on the day, as their hopes of reaching the semi-final were shattered when Vivian Kah Mun Hoo and Woon Khe Wei were beaten 23-21, 16-21, 11-21 by Chang Ye Na and Jung Kyung Eun in the women's double event.
While Frost was disappointed that Malaysia would not be featuring in the semi-finals, he was pleased that the team gave South Korea "a run for their money".
"The whole team have been working well, and it’s been a fantastic performance, not just from those on court but from those who didn’t play as well," he said. "We gave the Koreans a run for their money. We were just unlucky to have drawn them in the last eight."