Los Cafeteros fell to a 2-1 defeat in Fortaleza, with Thago Silva and David Luiz both scoring for the Selecao, while James' second-half penalty was the only response they could muster.
The 22-year-old Monaco attacker was consoled by David Luiz after the final whistle and explained that his emotional response was borne out of the great effort he and his teammates had put into the entire competition."I'm crying because we gave everything we had inside of us," he told reporters after the game.
"We have not progressed to the semi-finals. The referee did not always whistle in the right direction and did not penalise many of Brazil's misdemeanours. But we go out with our heads held high.
"Men can also cry. But I can return to my country happy. A great team has been born."
James, who is the tournament's top scorer with six goals, has inspired Colombia to their best ever World Cup performance and also revealed what David Luiz had said when he comforted him after the defeat.
"He congratulated me for my World Cup," the former Porto man said.
"He told me I was a good player. The truth is that having so many superstars hugging me did make me happy. We have to raise our heads now and thank Colombia for their support.
"We are sad because we wanted to keep going and set new records. We gave everything to reach the semi-final, but we have to be proud because we played a great side."