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The Wales captain was helpless as his side were hammered 4-0 by Denmark in Amsterdam as their campaign came to an abrupt end at the last-16.
There has been speculation that Bale may retire from international football at the end of the tournament, a possibility the Real Madrid man has not publicly ruled out.
However, when asked by the BBC whether he had played his final game for his country, Bale walked out on the interview.
Wales fans had been dreaming of another run deep into the latter stages of the Euros, after they reached the semi-finals in 2016.
However, they were outplayed by a Danish side that has had to overcome the emotional trauma of Christian Eriksen’s collapse to now reach the quarter-finals.
“It wasn’t how we wanted the game to go,” Bale said earlier in the interview. “We started well in the first 25 minutes but we conceded a goal and the game changed a little bit.
“We came out in the second half trying to play and made a mistake to concede the goal, which killed the momentum on our side.
“Of course, we missed an opportunity but we can’t fault the effort the boys showed, that’s the minimum requirement for this group and I’m proud of them all still.”