England were beaten 4-2 on spot-kicks after their quarter-final clash in Kiev had finished goalless after extra-time.
This was the latest in a long line of penalty shoot-out exits from major tournaments, following on from 1990, 1996, 1998, 2004 and 2006.
Steven Gerrard: "Everyone's been great in training, every time we've come out I think we've done the country proud, but again we're going home with heartbreak, which is difficult to take.
"I just feel for the players who from day one have given everything and today we did the same.
"This time in the penalty shoot-out we thought we might have the bit of luck we needed but it wasn't to be.
"Credit to Italy they are fantastic team and they got the luck in the shoot out."
England manager Roy Hodgson: "Anyone can miss a penalty.
"They were not nonchalant, Ashley Young's smashed against the bar and Ashley Cole's was well saved by Gianluigi Buffon.
"A player's reputation should not be forged on a penalty shoot-out, their reputation should be forged on the four games and in those four games we have not lost.
"We stuck to our guns right until the end and the players should be very proud of what they did.
"I have learnt a lot about the players and their determination and dedication to the task and the fact they are so keen to play for England.
"There were some heroic performances not only tonight but also in the previous three games."
England goalkeeper Joe Hart: "We've gone out of a tournament that we've laid the foundations for really well, played with everything we've got and unfortunately we weren't good enough tonight, losing on penalties.
"I thought it was going to be our night because of the side we had, the heart we had, the quality we had, but unfortunately it wasn't to be, we didn't do well in the shoot-out, myself included."
"I'd like to be optimistic now but that's not the feeling in my heart at the moment.
"I'm an emotional guy and I put everything I had into these past couple of weeks.
"I'm gutted for the people who paid money to come out here to support us and see us and for the people back home."
Wayne Rooney: "We are all gutted.
"It was a tough game and we all worked hard, so to lose on penalties is a horrible feeling for everyone.
"We can hold our heads up high. There are a lot of young players in the squad and that will help them in next tournament."
Theo Walcott: "It's a very cruel way to go out in any competition but someone was going to go out and luck did not go our way.
"The two Ashleys are strong enough lads to come back from this and the lads will be with them.
"They are two of the most experienced players in that dressing room and they will bounce back from this even better players.
"I do not worry about that at all.
"We have got to look forward to the future. It is going to be bright, I am sure of that.
"The World Cup qualifiers are going to be tough. We have to learn some lessons from tonight as that is important for the young players - me being one of them."