Thailand lost 2-3 to Malaysia in the second leg of the final after gaining a 2-0 advantage in the first-leg at Rajamangala National Stadium in Bangkok on Wednesday, to emerge as champions with a 4-3 aggregate.
Shukor, 35, received a surprise international recall in September by coach Dollah Salleh but said he would not be making any more comebacks for Harimau Malaya.
"I have to retire," said the Felda United player. "I decided that this would be my last tournament and I am not changing my mind now.
"I came back out of my respect for Dollah Salleh and to serve Malaysia and I am proud to see that the Malaysia fans have been behind us all the way."
According to Shukor, Malaysia's near-miss was justification to recall veterans like himself for the tournament.
"There were a lot of people who criticised coach Dollah and his decision to bring the older players back into the team and I am glad that we had the chance to prove them wrong," he said.
"However, it is time now for the next generation of Malaysian players to step up and take over," he added.