"If you look at the warm-up matches prior to the start of the tournament, we did well against Holland and won pretty convincingly against the West Indies. As players I think we are more disappointed and hurt," he said.
The early exit was a double blow for Kumble as he had wanted to leave the one-day arena in a blaze of glory after being dropped for the 2003 final against Australia.
"It's always nice to finish on a high note but unfortunately that did not seem to have happened," he said.
"You can't really have a fairytale end every time. Hopefully my test career will see that."
The Karnataka bowler played in 271 one-day internationals, making his debut in April 1990, and took 337 wickets.
He said he had thoroughly enjoyed the challenges of one-day cricket.
"As a bowler it is not easy in the one-day game. I think in the last thee to four years it has become a lot harder for a bowler to survive," he said.