Ajax conceded a dramatic 96th-minute goal against Tottenham, who claimed a last-gasp 3-2 victory to progress 3-3 on away goals in Amsterdam on Wednesday.
After stunning holders Real Madrid and Juventus en route to the semi-finals, Ajax appeared on track to reach their first European decider since 1996 thanks to captain Matthijs de Ligt and Hakim Ziyech.
De Ligt and Ziyech scored in the first half to put Ajax 2-0 ahead on the night and 3-0 on aggregate before Lucas Moura's second-half hat-trick spoiled the Dutch party midweek.
Reflecting on the match, De Jong – who is set to join Barcelona at the end of the season – said: "I think we deserved to reach the final, given the way we played throughout the tournament and also in the first half tonight. In saying that, Spurs also earned their right with that second-half performance
"I think everyone enjoyed what we did in the Champions League this season, it was like a fairytale. Unfortunately, it was one with an unhappy ending. So disappointing to give it away in the last few seconds.
"We showed in patches what we were capable of. But in the second half they caused us a lot of problems. It is indeed the third tie in a row in which we've won away but failed to do so at home. I don't really know why.
"We always try to play the same, home or away. And if we'd kept up our first-half performance we could definitely have won this evening."
The Dutch side will have to rebound quickly.
Still in the hunt for their domestic crown, Ajax sit level on points PSV at the top of the table with just two matches to play.
They'll be back on the pitch Sunday against Utrecht before closing their season against De Graafschap next Wednesday.