The Tottenham Hotspur midfielder started four of England's six games in Russia, missing the Group G games against Panama and Belgium through injury.
"I'm devastated that we did not manage to progress to the final," the 22-year-old wrote on Twitter. "No feeling has ever compared to this in my career.
"It's the disappointment to have not given England fans the chance to watch us compete in the final of the World Cup.
"To have represented my country in this tournament has been an honour and a memory I will carry with me for the rest of my life.
"I want to thanks everyone for the support we've received, the encouragement and belief throughout the tournament has been incredible.
"This is going to take a while to get over, but I truly believe this team has a bright future and we will make England proud again!"
Alli has won 29 caps for England since making his international debut in 2015.