The Matildas fought back from a goal down to take Norway to extra time, and then to penalties despite the sending off of defender Alanna Kennedy.
Kerr was first up in the shootout but blasted her spot-kick high and wide as the Aussies went on to lose 3-1 and crash out in the last 16.
The Daily Telegraph published a report earlier in the day that Kerr was considering a move to England to join Chelsea, who had offered her a contract worth $1 million.
But the 25 year old, who plays for Chicago Red Stars in the NWSL, dismissed the rumours after the game, saying: “That’s just media speculating. That popped up yesterday too.
“Everyone’s been speculating about Europe but I’m really happy in the U.S.
“I’m playing well there. I have a great club behind me and I love where I live. That’s just speculation.”
Kerr, already considered one of the best in the world, has seen her stock rise this summer after she scored her first World Cup goal and then netted four against Jamaica.
But her and the Matildas’ journey ended prematurely in Nice, with them touted by many as underdogs for the tournament.
Asked whether she felt the team had underachieved, she said: “Any time you don’t win the WC you’ve underachieved.
“We’re obviously really, really disappointed and feel like we’ve let ourselves down.
“Right now, I can’t really think about those things. I’m just thinking about the loss.”
The striker is confident that she and the team will bounce back though, despite the manner of the exit.
“I’ve been trusted to take [the first penalty] and I was confident in taking it and I just skewed it. I’ll grow from this and become a stronger person mentally,” she said.
“The girls have already gotten around me. I feel like I let the team down, but they’ve been quick to cut that out.
“It’s obviously disappointing but I’m proud of the girls. They fought back hard to get into this game. Fought back hard to get into this entire tournament.
“It’s been a roller coaster ride the last few months but we’ve stuck together and we’ve had a lot of support," she continued.
“I’m just grateful for everyone that’s done everything for us.
“What can you do? Penalty shootout obviously sucks. It’s the second time and disappointing. We’ll come back.”