Davies and Tom Huddlestone had hopes of making the squad for this week's friendly against Denmark.
He told the Hull Daily Mail: "It's a shame for us both but me and Tom laughed about it on Thursday. I texted him to see if he'd seen the squad and there was disappointment for both of us.
"It's not arrogance thinking we deserve to be there, it's just that we want to achieve and strive to reach the pinnacle. To me that's playing for your country.
"We just have to keep going. It's important that we do well for Hull City. If we don't do that we'll not have a chance anyway."
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