"Frankly we're confused," one stunned USA fan told me as I turned to her after the final whistle. She was wearing red, blue and white with stars and stripes from head to toe - at that moment she and probably thousands of others were dumbfounded by what just happened.
On the big screen in front of us, the Swedish team were jumping and running across the pitch in absolute joy.
Meanwhile, the USA squad and their fans in the Melbourne stadium - and in the Sydney fan zone where I was - were trying to understand.
It wasn't just that they were eliminated - it was how they were eliminated that added insult (and confusion) to injury.
It came down to penalties. It was neck-and-neck until the last penalty kick by Sweden, which crossed the line by the smallest of margins to deliver one of the biggest stories in a Women's World Cup that has been defined by its upsets and its unpredictability.
You can't overstate the enormity of this for the US side and the fans.
This is a team that has dominated the women's game internationally for years - an achievement that has earned them a fearsome aura.
The reigning champions had come to this World Cup to defend this title but have barely scraped through the group stages and have been knocked out before the quarter finals.
What's painfully ironic is that this is the best game they played in the tournament so far.
"It was a lot more fun to watch them today than it was to watch at any of the group stages games," Anne Tobin told me.
Throughout the match, the US side was dominant. They kept pressing and looked threatening - and yet their performance did not translate to goals.
Sweden's defence and their goalkeeper Zećira Mušović, who was named Player of the Match and made some of the best saves in this tournament, were in the way.
The disappointment was palpable. Some fans had their hands on their heads, others were in tears, and even those who kept smiling acknowledged the sting of the defeat.
"We can't win forever," Erin O'Leary told me.
"This was a hard-fought game. I really think we did a lot better than the group stages," she added.
But this really hurts for the US. It wasn't just the fans. Many of the players were in tears - including veterans Alex Morgan and Megan Rapinoe, who missed her penalty kick in the shootout.
It was a painful note for her to end on in her last ever World Cup.
But the team has been unconvincing from the beginning of the tournament.
There are several reasons why this will go down as one of their worst World Cups to date: The absence of key players due to injury and the generational differences within the squad made the team feel at times very incoherent and messy.
Most crucially, this is a tougher terrain now. Teams have become more competitive and less intimidated by big teams.
"Germany is out. Brazil is out," Ms O'Leary said of the two power houses which were also eliminated.
There will be many questions asked about the future of this team, including how they move on from this, how they start rebuilding, and whether the head coach, Vlatko Andonovski, should stay on.
The former champions and their fans will have to come to terms with the fact that their World Cup dominance and their formidable reign have come to an end - at least for now.