The Selecao were seen as the favourites to triumph at this summer's competition, and Neymar recovered from a broken foot to feature for the five-time winners in Russia.
Neymar has admitted that "the pain is very great", with the Paris Saint-Germain attacker claiming that "it is difficult to want to find the strength to want to play football again".
"I can say this is the saddest moment of my career," Neymar wrote on his Instagram page. "The pain is very great because we knew we could get there. We knew we had the conditions to go further and make history.
"It is difficult to want to find the strength to want to play football again, but I'm sure God will give me enough strength to face anything.
"I'll never stop thanking God, even in defeat, because I know that your way is much better than mine. Very happy to be part of this team, I am proud of all."
Neymar scored his 56th and 57th international goals during the tournament in Russia.