Chris Gunter has called the format of Euro 2020 a "joke" and accused UEFA of letting down Wales.
Robert Page's side bowed out of the cross-continent competition in the last-16 on Saturday with a 4-0 defeat to Denmark in Amsterdam.
It was Denmark's first game outside their Copenhagen home, while Wales had travelled over 5,300 miles after playing group games in Baku and Rome.
"Written off before a bag of air was kicked, 3,000 miles from home," Gunter, Wales' most capped men's player, wrote on Instagram.
"Every nation had fans wherever they went, apart from the 350 who broke government rules and bank accounts to be there, you and us deserved more from this joke set up of a tournament, but who said life was fair."
Having had little support in Baku and Rome due to coronavirus restrictions, Wales were then told by the Dutch Government that their supporters were banned from entering Holland.
Denmark supporters, however, were allowed in and a small band of Wales fans, who had managed to get into the Johan Cruyff Arena, were vastly outnumbered in a 14,645 crowd.
"Suck it up, keep your chin up, we'll be alright, trust me on that," said Charlton defender Gunter, who won his 102nd cap in the final group game against Italy.
"We did not deserve that scoreline but who said life was fair.
"Have a cry, but then smile that we were dining at the top table yet again.
"And smile even more that we'll be back, and we'll be the ones with the full stadium belting out our anthem that we all deserve."
Germany
Switzerland
Hungary
Scotland
Spain
Italy
Croatia
Albania
England
Denmark
Slovenia
Serbia
Austria
France
Netherlands
Poland
Romania
Belgium
Slovakia
Ukraine
Portugal
Turkey
Georgia
Czech Republic