Despite being one of the youngest members of the squad, he led by example and looked certain to extend his unbeaten record for his country to 13 games before a late collapse led to a 2-1 defeat.
"It is horrible," said an emotionally-drained Jones.
"We are disappointed, distraught, gutted. It is hard to sum up how we are feeling in words.
"It won't put me off wanting to be captain in the future. To walk the lads out at the start of the game at the front of the queue is a massive honour."
Indeed, Jones is determined to make up for England's dismal displays in Denmark at the next tournament in two years' time.
"I can't wait, I'm looking forward to it," he said.
"Let's try and move on from this, learn and improve."