The midfielder was disappointed with the Netherlands inability to create chances in their World Cup semi-final penalty shootout defeat to Argentina on Wednesday
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"We didn't create many chances, but if you look at the game, we deserved to go through to the final," he told NOS.
"We had lots of possession, but we didn't manage to get in front of goal. Nonetheless we stayed confident because we played a very steady tournament, but the goal just didn't come."
Wijnaldum's assessment is backed up by the match statistics, which showed that the Netherlands had just one shot on target over the 120 minutes, compared to the equally dismal tally of four mustered by Argentina.
Alejandro Sabella's side progressed thanks to Maxi Rodriguez's winning penalty after Sergio Romero had saved spot-kicks from Ron Vlaar and Wesley Sneijder.
Louis van Gaal's side face hosts Brazil in the World Cup third-place play-off on Saturday in Brasilia ahead of Sunday's World Cup final between Argentina and Germany in Rio de Janeiro.