A tense and largely forgettable last-16 British derby at the Parc des Princes was settled 15 minutes from time when McAuley turned home a wicked low cross from Gareth Bale with Wales striker Hal Robson-Kanu poised to convert behind him.
It was a far cry from the 36-year-old centre-back opening the scoring in Northern Ireland's superb group-stage win over Ukraine but he remained upbeat over the tournament experience for Michael O'Neill's men.
"It's difficult. I'm gutted at the way it's ended but worse things happen in life," he said. "I’m just gutted everyone has to go home – if [the fans] even do go home!
"It's been fantastic, we've embraced it and we've enjoyed it.
"With everyone behind us on this stage we really believed we could get something and there were periods in the game when we got the better of it, but it is gutting to go out to a situation like that.
"Gareth Bale has got a fantastic ball into the box and I perhaps could have got a little less on it but he [Robson-Kanu] was right behind me so I had to get something on it.
"Maybe when I look back on it in a few weeks it might help that the player would have scored but not at the minute.
"I'm just gutted for all the lads after all the effort they put in – but I'll take that rather than miss a penalty."
McAuley's frustration afterwards was compounded by being hauled in for a UEFA drugs test, denying him the opportunity to thank the vocal hordes of Northern Ireland fans after the final whistle.
"There were a lot of lads in dressing room devastated," he said.
"I was disappointed and angry not to be able to go onto pitch with the rest of the lads but that's the rules and I was selected to do the test. But it did make me angry.
"I would have liked to have thanked the fans for everything but that's sod's law."
Manager Michael O'Neill told his post-match news conference he believes McAuley has more to give at the highest level and the West Brom man believes the future is bright for Northern Ireland.
"I think we showed we have good players in our side, players who I think can move up in their club careers, too," he added.
"We've talked about trying to produce more players off the back of this tournament and there are a few lads there who have done enough to get themselves to a higher level of football and really take this side forward."