Three times previously Pennetta has been beaten at the quarter-final stage at Flushing Meadows and few had anticipated doing better just a year after a serious wrist injury.
"It wouldn't be right to leave here feeling regrets. It has been a great tournament for me," the Italian said after her 6-4 6-2 loss.
"Sure, there is a little bit of a bitter taste in my mouth about losing but this has been a super and positive week.
"I played the number two in the world and I had my chances," added the 31-year-old from Puglia.
Having returned from injury slowly, with some poor results in the first half of the year, Pennetta showed throughout the tournament a wide range of shots and an ability to mix them up.
But while her best ever performance in a Grand Slam comes just 12 months after missing the US Open while she sat at home recovering from wrist surgery, Pennetta rejected the notion that she was enjoying a second career.
"I don't think so. There are ups and downs in every career and each game only lasts for one day and you have to move on to the next one," she said.
"I really didn't expect to arrive at this level this year to be honest."
In the past Pennetta has had a tendency to be over-adventurous but she said against Azarenka she had reined in her attacking instincts.
"To beat these kind of players you have to play very aggressively, you have to try to find more winners and in that case you're going to miss more also.
"But actually today I think I didn't do it too much. I didn't go for a big, big winners all the time.
"She's stronger than me and in the end she was winning more points than me."
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