Australia fell to a 1-0 defeat to Japan in Saturday's final in Sydney courtesy of first-half wonderstrike from Maika Hamano.
"It's kind of sad that we didn't get the job done," Kennedy said.
"I think that's probably what sucked the most, that early goal and then we were chasing the game."
The Matildas emerged with plenty of credit and as fullback Ellie Carpenter noted the loss to Japan was Australia's "best footballing performances in a very long while".
But Australia's players were left to lament a night where Sam Kerr and Caitilin Foord endured off-nights in front of goal and Kennedy missed a late chance to send the game to extra-time.
"I think it just came down to that final execution," Carpenter said.
"Fatigue plays a role in this tournament with rotation and all that.
"This is going to hurt for a while… I just don't think we deserved this loss."
The Matildas once again left Stadium Australia on Sunday without a trophy, and their wait for silverware will now stretch into a 17th year with the Women's World Cup in Brazil 15 months away.
Kennedy, who was named the tournament's best player with five goals from the midfield, has been part of that run of missed chances which includes semi-final finishes at the 2021 Tokyo Olympics and the 2023 Women's World Cup.
Logic would suggest the door is closing on Australia's golden generation of players to win a trophy as they approach the twilight of their careers.
But Kennedy, who has been reinvented as a deep-lying midfielder under Joe Montemurro, says the Australia manager's approach has ensured they will continue to be contenders.
"It has been a really fun tournament for us as a group," Kennedy said.
"We just said in our post-match chat that the togetherness and the vibe around the team has felt really nice and really special.
"Hopefully, that can continue under Joe over the next year and into the World Cup.
"The more time you have under someone the better and I definitely feel that with this squad and the coaching staff that we have at the moment."
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