Bellamy's team are now winless across six matches in 2026, and they have lost back-to-back matches in their Nations League Group A after also going down on the road in Portugal.
An own goal from Ben Davies and a superb strike from Gustav Isaksen did the damage for Brian Riemer's men at Parken Stadium, but Bellamy is no dwelling on the latest setback.
"I'm really hurting. When you see an athletic team run over you a little bit... but then, will we improve? I think we will.
"This team will get better, these players will keep improving. There are young ones coming in well after I'm gone.
"For me now it's just focus, two more games to go. How can I help you improve for the next two games, but also how can I improve?
"I'm probably more loving when I'm losing, I'm probably more of a pain in the backside when I'm winning."
Wales will wrap up the international window with two home games in Cardiff against Norway on October 1st followed by a repeat tie against Denmark on October 4th.