Australia won a scrappy contest at Eden Park, with a late try from Leigh Halfpenny not enough to close the gap for Wales.
"I'm proud of the way we finished, we've just come up short again today, but we've enjoyed the tournament," Jenkins said on ITV.
"It's a shame we couldn't finish it off with the win."
Wales were guilty of several turnovers in the match, and Jenkins admitted it cost them.
"We know how good Australia are, and they competed well. We tried to play a little too much rugby and it cost us with turnovers and the tries they scored. But we kept working to the end.
"To get to the semis is a great achievement for this group of players.
"We talked about creating history and to come fourth, while it's not as good as third, is still an improvement on the last couple of World Cups."
Gilbert has released a new line of rugby cleats. The Gilbert Virtuo 8S is part of the exciting new product. Check it out.
The entire All Blacks apparel line has been updated for 2013/14. Check out the New Zealand All Blacks polo.
The Nike Tiempo is a solid rugby cleat and one of few styles still made from full-grain natural leather.
The Gilbert Blitz 8S rugby cleat is a great cleat at a great price of $69.99. Get a new pair of cleats today.
A cool looking all black rugby cleat with the high performance adidas is known for. Get in the Gear!
Wear the crest of the British and Irish Lions on your t-shirt. A great look for the summer.
The All Blacks Performance t-shirt is black with hints of blue from the training jersey. Very Cool.
The New Zealand All Blacks training jersey for 2013/14. Get in the Gear!
The USA Rugby Pro Alternate rugby jersey is perfect for any fan of the Eagles. Get yours to wear during the summer Test matches.
The NEW All Blacks 2013/14 jersey has arrived at World Rugby Shop. Dare to wear the colors of the All Blacks.