The Wallabies claimed third place with an 18-21 victory this morning.
"It's a shame we couldn't finish it off with the win," Jenkins said.
"We know how good Australia are, and they competed well.
"We tried to play a little too much rugby and it cost us with turnovers and the tries they scored. But we kept working to the end."
Had Wales won the the match they would have equalled their previous best finish of third at the inaugural World Cup of 1987.
"To get to the semis is a great achievement for this group of players," added Jenkins.
"We talked about creating history and to come fourth, while it's not as good as third, is still an improvement on the last couple of World Cups."
Jenkins, 30, captained the Welsh side in place of the suspended Sam Warburton.