The Red Devils were knocked out in the quarter-finals of the tournament following a 1-0 defeat against Argentina.
Kompany has been proud of everything his country has achieved in Brazil and believes that they will come back stronger when the World Cup is hosted by Russia in four years' time.
"It has been a great adventure for us," Kompany told VRT. "We gave it everything. Maybe in Russia we will have more luck and more experience.
"After all, this is one of the youngest teams at the World Cup."
The average age of Belgium's squad at this year's tournament was under 26 years old.