Our captain fantastic was handed only 10 minutes from the bench as goals from Rivaldo and Ronaldhino wiped out Michael Owen's opener in the quarter-final.
Teddy, who appeared as substitute in four of five matches and went past the 50-cap mark in the tournament, reflected: ""The mood was of dismay after the game because, although Brazil played really well, they did not really outplay us.
"They did not have a major number of chances and we have gone out to a freak goal.
"But I think we need to learn. We can't afford to be chasing the ball for longer periods than we keep the ball."
Teddy insisted that Brazil were guilty of blatant gamesmanship.
"They are clever," he explained. "Perhaps we are a bit naive at times. They are falling over and holding onto the ball and things like that.
"In the very first minute Roberto Carlos held onto the ball when we got a free-kick so we could not take it quickly. They got away with it once and they carried on getting away with it. The referee did not pull them up once.
"If any of our guys had done it, we would have probably got booked. They (Brazil) do it in such a clever manner. The ref is still smiling and they're still smiling.
"That's all part of the gamesmanship of playing in this tournament. You've got to have that sort of thing in your make-up to know what to do. I think in England you get very honest footballers and that is also what you get when you play for your country.''
Teddy also revealed that coach Sven-Goran Eriksson was already beginning to cast an eye towards the future in his message to the players after the game.
He said: "The manager thanked us for giving everything and said we were so close to pulling off a great result. He also said that for 95% of the squad there would have another European Championships and World Cup to look forward to."
He concluded: "I'm feeling okay at the moment so I want to carry on playing and see what happens."
Teddy Sheringham said the mood in the England camp was understandably one of 'dismay' after Friday's World Cup exit against Brazil.