Gatland, who is being linked with the soon-to-be-vacant All Blacks job but is contracted to Wales until 2015, admitted his side were a little flatter than he would have liked but insisted that plenty of progress had been made during the seven weeks in New Zealand.
"Probably the learning that we took from tonight is that we weren't quite as emotionally up for it as we have been for other games. I think that showed," said Gatland, who was part of the Lions coaching staff in South Africa two years ago.
"Our performance was probably a little bit down on what we're capable of. In saying that we've played one of the tops sides in the world and posted a very close score and scored two tries against them.
"They've been one of the best defensive teams in this competition and only conceded four tries in their pool, didn't concede a try against South Africa and the All Blacks only scored one try against them.
"We're disappointed, but we've got to take a lot of positives from this tournament and how well we've done and the way we've progressed as a team."
That mix of disappointment and pride was echoed by double Lions tourist Jenkins who took over the captaincy after Sam Warburton was handed a three-week ban for his semi-final red card against France.
"I'm proud of the way we finished, we've just come up short again today, but we've enjoyed the tournament. It's a shame we couldn't finish it off with the win," said Jenkins.
"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."
As for Edwards, the Wales defence coach, who held the same role with the 2009 Lions, spoke of his pride in his team's efforts Down Under.
Until Friday's game, Wales had conceded an average of less than nine points per game and had regularly impressed with their ability to battle until the very end following a brace of intensive summer training camps in Poland.
And with the result already beyond doubt going into the final play against the Wallabies, Wales kept the ball alive for close to 30 phases before Leigh Halfpenny crossed for a sensational team score - a fitting way to end a campaign in which Wales have impressed in defence and attack and on and off the field of play.
"I've got a lot of pride in the lads, in the way they've applied themselves and behaved off the field," added Edwards.
"On the field, they've played with an extreme commitment, no little skill and a never say die attitude. That was proven with the last five minutes.
"The try we conceded just before ours, we had a guy injured in Jamie Roberts but when we get the ball back the same guy is trying to score a try for us. That just shows the commitment to the cause and the pride in the jersey that the boys have."