The 25-year-old at one stage looked as if he was going to race to the green jacket with four holes left to play on nine-under par, but he bogeyed at the 16th and 17th to move out of contention.
However, the Australian is eager to focus on the positive aspects of his experience in Augusta.
"I can't look at the week as a disappointment," said Day.
"Obviously, I'd love to wear the green jacket. I've been dreaming about it since I was a kid.
"I think I've got to take the experience and just keep going on."
Day eventually finished third on seven-under par after shooting 70.