They face the Wallabies once more at the Millennium Stadium in December and Halfpenny remains positive that Wales can secure a southern hemisphere scalp.
"After a couple of the games, the last two Tests, we felt like we'd been the better team and had let it go right at the end," Halfpenny told the Western Mail.
"It was hugely disappointing, hugely frustrating and we were gutted about it.
"We went there with the belief we could win the series and to be honest I don't think we were that far off.
"We wanted to come back with at least one win to say we had beaten them in their own backyard.
"But we gave away too many penalties and made too many errors, and you can't afford to do that against teams like Australia.
"We had our chances and we didn't take them, so maybe we need to be more clinical.
"It's a case of looking forward to them coming here for the autumn now and making sure we get it right.
"It (the December 1, clash) is a huge opportunity. They will be at pretty much at the end of their season and we should be fresh. We still have confidence in our group as well, if anything it has grown.
"It will not be easy and we'll have to be 100% clinical and cut out the mistakes, but we are capable if we are totally at the races. Our preparation will certainly be spot on.
"When I go on the pitch with the boys I sense we don't fear anyone.
"We feel these little losses can be turned into victories and if we can do that then going into these games we can start expecting to win them and less will be made of the fact that we haven't done so."
Halfpenny, who could also face Australia with the Lions, begun pre-season training with Cardiff Blues this week, following five weeks off.
Suprisingly the hugely dedicated goal-kicker, who has been known to train on Christmas Day, has stayed away from the kicking tee during his break.
But Halfpenny is confident he will benefit from the time off and, with a potential second Lions tour on the horizonis, is aiming to add new dimensions to his game.
"I took the full five weeks off and felt I needed that," said the deadly goal-kicking fullback.
"I relaxed and switched off in a way I am not able to do during the season. I spent some time with mates doing other things.
"It was a long season and with kicking comes a lot of pressure and stress. You need time away from it just to get your hunger and drive going again.
"The hard work starts again now and I'll be putting plenty of time in, though it takes a week or so to get your rhythm going again.
"I'm focusing now on how to get myself more into the first receiver's role, playing like another 10 when the outside-half isn't available.
"I also want to improve changing the point of attack and kicking from hand with both feet, especially improving with the left foot. I'll work hard in pre-season on those things, as well as restarts and drop goals."