The 27-year-old has finished runner-up three times, third once and now fourth twice after leaving short a birdie putt at the 18th which would have got him into a play-off in the Open at St Andrews.
“I’ve been working very hard to try and accomplish my first major and, you know, it’s a little frustrating with how it finished,” said Day, who only last month was struck down with vertigo at the US Open but recovered to finish in a share of ninth.
“But I’ve been in contention at major championships a lot now and it just shows I’m doing the right things and I can’t look at it as a negative.
“I’m just a little frustrated. Give it time so I can just sit down and look at what the positives were and move on from there and just try and get better.
“I played really good golf this week and I can’t be disappointed by it.
“I really did the right things to give myself the opportunity at getting into the play-off and having a shot at winning my first major.
“I really want to have that shot at immortality. It’ll soon come my way. I’ve just got to be patient with it.”