A brace from Kasper Dolberg and late goals from Joakim Maehle and Martin Braithwate earned the Danes a spot in the quarter-finals, dumping Wales out of the tournament.
As Wales‘ skipper, Bale spoke to BBC One after the game and gave his verdict on the performance, before being asked about his future.
There has been speculation that the forward will retire after the Euros, but he has remained tight-lipped.
In his post-match interview, Bale said: “Yeah not how we wanted the game to go. We started very well, the first 25 minutes. We conceded the goal and the game changed a little bit.
“In the second half we tried to play and unfortunately made a mistake to concede the goal which killed the momentum on our side.
“Obviously to finish the game how we did is disappointing. The boys are frustrated, the boys are angry – I’d rather us go out like that, kicking and screaming than laying off and doing nothing.”
When asked if he felt there was a foul on Kieffer Moore in the build-up to Denmark’s second goal, Bale replied: “Yeah definitely, if you play the ball through the back of someone it’s a foul.
“I felt like the ref is being influence by a lot of supporters here. I guess it is what it is. There’s no point making excuses now. It’s disappointing that’s all I can say.
“Of course we missed an opportunity but I think one thing we can’t fault is the effort the boys showed and that’s the minimum requirement for this group and I’m proud of them all.”
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Bale was then asked if he had played his final game for Wales but he walked off before the question had been finished.
The 31-year-old is still under contract with Real Madrid for another season and club chief Florentino Perez recently hinted that Bale could play a role for the La Liga giants next season.
“He is a great player. I remember the finals that he has won,” Perez told Onda Cero.
“My view is that he is one of the best players that there is in Europe. Each one is as he is, has a personality.
“The last that I remember is in Kiev, the scissor kick to score the goal and then he scored another. And Lisbon comes to mind. That run against Barcelona in Valencia in the Copa del Rey.
“Would I like him to stay? I love them all.”