The Netherlands missed three spot kicks as Morocco came from behind to beat the Dutch on penalties in Monterrey to reach the last 16 where they will face Canada in Houston on Saturday.
It was a heartbreaking defeat as they join Germany as two European sides who fly home following defeat on penalties against teams from other continents.
Speaking after the game, Van Dijk praised his side who he thinks stuck to their game plan set out by manager Ronald Koeman.
"It's very difficult to analyse it right now. An intense match. I think we were solid defensively. They couldn't really find the free man between the lines, so the game plan worked, of course.
“I think we scored a good goal. Ultimately, in stoppage time, we got pinned back. Then it went to penalties, and unfortunately, we're out.
"If you look at almost all the big teams at the World Cup, they also drop deep and wait for the right moment to press. We trained hard on this for two days, and at times it went well. Of course, things can always be better, but well, that's of no use to us now.
"Intense, of course. You train so much for it, and in the end, you're out."
There will now be speculation regarding whether Koeman stays in the role as the 63 year old is under pressure to resign following the nation’s early exit from the competition.
Morocco have not suffered defeat in normal time since January 2024 and they are favourites to progress to the Quarter Final over the weekend.