Valencia were 2-0 down in the home tie before Adil Rami netted late on to hand them a lifeline. However they could not muster a win in France and were knocked out after registering a 1-1 draw on Wednesday night.
Feghouli insists that Valencia deserved to win in Paris but that the damage was already done.
"I felt we deserved to win the game as we dominated from start to finish," UEFA.com quotes Feghouli as saying. "We just didn't get the little break we needed to score the second goal and instil more doubt in their minds.
"PSG deserve to go through overall and I wish them good luck. We simply didn't turn up in the first leg – it was very frustrating.
"Tonight, we believed we could go through. It didn't happen, though, so now we have to concentrate on the league and try to get back in to the Champions League next season."
Valencia are currently fifth in La Liga, just a point behind fourth-placed Malaga.