Spain went into the tournament as one of the favourites after a strong qualifying campaign under Lopetegui but they failed to perform to the heights expected of them and went out against home country Russia in the last 16.
"I am not going to talk about whether the decision was correct or not but we lost our coach," said Odriozola.
"You want it to not affect you and Julen is also someone that gives a lot to the team but still we gave Hierro everything. He was capable but we were not capable on the pitch to show the superiority that we are supposed to have against Russia.
"We would have liked to have been longer in the competition and get to the 15th of July but for different reasons we were not able. It was an unforgettable experience."