Kasper Dolberg scored twice before late goals from Joakim Maehle and Martin Braithwaite sent Denmark into the quarter-finals with an emphatic win in Amsterdam.
It brought up the first time Wales has lost successive matches at a major tournament – after its defeat to Italy in the group stage – with Robert Page's team also having Harry Wilson sent off late on.
Indeed, Wales was on the receiving end of a result which saw Denmark become the first team to score four or more goals in consecutive matches in European championship history.
After a bright start in which he went close with a long-range strike, one of three attempts he managed in total, Bale was a peripheral figure after a clever tactical tweak from Denmark coach Kasper Hjulmand, whose team will face either Netherlands or Czech Republic in Baku next weekend's quarter-final.
The 31-year-old, who is due to return to Real Madrid after spending 2020-2021 on loan at Tottenham Hotspur, said before the tournament that he had made a decision on his future, though he would not reveal it until Wales's campaign was over.
However, asked to expand on that in a pitch-side interview after Wales's defeat, Bale walked immediately out of shot.
Wales captain Gareth Bale reflects on a disappointing loss to Denmark and sensationally walks off when asked about his international future. #beINEURO2020 #EURO2020 #WALDEN— beIN SPORTS (@beINSPORTS_EN) June 26, 2021
Watch Now - https://t.co/RRmQgctETJ pic.twitter.com/nmaLfNV5MV
Prior to the refusal to discuss his next move, both domestically and internationally, Wales's record goalscorer said: "Of course, not how we wanted the game to go.
"We started very well the first 25 minutes. Conceded a goal and the game changed a little bit. We came out in the second half trying to play but unfortunately made a mistake to concede the goal which I guess killed the momentum on our side.
"To finish the game how we did was disappointing. The boys are frustrated and angry but I’d rather us go out like that kicking and screaming than laying off and doing nothing.
"Of course we missed an opportunity but one thing we can't fault is the effort, that's the minimum requirement of this group."
Wales was furious when Denmark's second goal was allowed to stand despite what seemed to be a foul on Kieffer Moore in the build-up.
"If you play the ball through the back of someone it's a foul," Bale added.
"I thought like the referee was being influenced by a lot of supporters here but I guess it is what it is, there's no point making excuses now. It's disappointing, that's all I can say."