Bale, whose one-year loan spell at Tottenham Hotspur from Real Madrid has come to an end, said after the Premier League season finished he would reveal his plans for the future at the end of the European Championship — otherwise it would cause “chaos”.
That sparked rumours the 31-year-old could retire.
When asked if he had played his last game for his country, Bale stormed off from an interview with the BBC without replying.
On the field, Robert Page’s men had no answer to an inspired Denmark side, who are gaining momentum after a distressing start to their tournament when Christian Eriksen suffered a cardiac arrest against Finland.
Two goals from Kasper Dolberg and late strikes by Joakim Maehle and Martin Braithwaite inflicted Wales’ heaviest ever defeat at a Euro.
Harry Wilson was also sent off as the Welsh players lost their heads late on.
“The boys are frustrated and angry, but I’d rather we go out like that kicking and screaming than laying off and doing nothing,” said Bale, who himself was booked for sarcastically applauding the referee.
“We’ve missed an opportunity but one thing we can’t fault is the effort the boys showed. I’m still so proud of them.”
Asked what he thought of Bale’s reaction to being asked about his future, Wales coach Page defended his skipper.
“To me it was an insensitive question and he has done the right thing walking away,” Page said.
“Like any other player in the changing room he is disappointed but it is about the group and moving forward now,” added Page, who became coach in the run-up to the tournament after Ryan Giggs was arrested on assault charges.
“Right now the players are disappointed of course but tomorrow, before we travel home, they will realise what they have achieved.
“Nobody wants to go out like that but we are not going to lick our wounds for too long — we will be better for going through this experience.”
Wales will revert their attention to the 2022 World Cup qualifying campaign in September but they are in a tough group alongside Belgium and the Czech Republic.
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