Gareth Bale says Wales were out of luck as Denmark denied them promotion to the Nations League's top tier.
Goals from Nicolai Jorgensen and Martin Braithwaite secured a 2-1 win for the Danes, whose victory made them Group B4 winners.
Bale scored a late consolation but had earlier seen a free-kick brilliantly saved by Kasper Schmeichel.
"I don't know how he's got it to be honest," Bale said. "Those are the little bits of luck that you need."
He told Sky Sports: "To get a goal would put you right back in the mix. I thought we had good chances that we could have taken on another day.
"Maybe the scoreline would have been different with a bit of luck. We're disappointed."
Braithwaite's volley two minutes from time sealed Denmark's win at Cardiff City Stadium, although Bale responded with a goal which had the visitors hanging on at the end.
"We had a lifeline at the end," Bale said.
"We tried to get it forward and I think maybe rushed it a bit too much in the last few minutes.
"When you're trying to scrape a goal that's what you kind of do."
Victory for Wales would have seen them win the group and guarantee Ryan Giggs' side a first-place finish in Group B4.
It would also have secured a Euro 2020 play-off game, should they not qualify automatically.
"We're disappointed not to win the group and at least get a draw to keep ourselves in with a chance of winning it," Bale added.
"They're a good team and obviously had a good World Cup, they're very highly ranked. We had a plan. Parts of it came off but obviously it's difficult after the game to see what went wrong."