The Galaxy lost 2-1 to CCL title-holders Monterrey last week but missed a host of chances at The Home Depot Center before losing 1-0 in Mexico to a late Aldo de Nigris winner to be eliminated 3-1 on aggregate.
Galaxy skipper Keane felt that he and his teammates perhaps did not take their chances whilst head coach Bruce Arena and star midfielder Landon Donovan were also left to rue what may have been.
"Maybe the first game killed us, you know?" said former Tottenham star Keane.
"When you have opportunities to take [the series], certainly at home, we have to take them, and that wasn't the case, so it was always going to be difficult tonight when you lose two goals at home."
Arena added: "We may have lost this series in the last 10 minutes of last week in Los Angeles.
"We made it very difficult for ourselves and tonight was going to be hard because of the way we played in the last 10 minutes last week."
With Donovan adding further: "In the critical moments, they made the plays and we didn't.
"To only have scored one goal with the chances we had in those two games was disappointing. So that part we have to be better at, but all in all we played against a team with three or four or five times the salary we have with very good players all over the field, and I thought we played very well, we just came up short."