Overcome by fatigue in a preliminary final, an understrength Swans outfit let slip a game-high 28-point lead and lost 12.11 (83) to 10.11 (71) to Fremantle at the SCG.
Cox could only express his pride in his players' performance in front of 45,129 fans on Friday after the Swans had navigated the turmoil of last month's Pullman Hotel scandal.
Sydney were largely expected by the AFL world to exit finals in straight sets after five players were stood down for breaching club standards.
Isaac Heeney, Chad Warner and Nick Blakey - All-Australian contenders before they were banned - are among the five serving club-imposed bans.
James Jordon and Riley Bice are the other suspended Swans, with Sydney also without captain Callum Mills (knee) and fellow defender Harry Cunningham (calf).
Proud of how his side galvanised, Cox wouldn't accept the Swans had let an opportunity to end their 14-year premiership drought slip past them.
"It's hard to say it's a missed opportunity when you play a really good footy team," Cox said.
"Prelims are big games, and there's a lot at stake because there's a grand final next week.
"We missed the opportunity to take those moments to put ourselves in a grand final. That's why everyone's really disappointed.
"That will settle in the next few days about, 'Alright, yeah, we missed an opportunity to put ourselves into a position to play in a grand final'.
"But we should be really proud of also finishing second on the ladder and hosting a prelim and falling just short."
Cox hailed the grit of youngsters like Tom Hanily and Harry Kyle, refusing to dwell on the 'what ifs' of this year's finals campaign.
"I've tried to turn all my attention and my thought process to dealing with what's in front of me," Cox said.
"And the players, to their credit, right from before the North Melbourne game, it was about building some trust and respect back in the competition.
"The three games we've played have allowed us to show that we've got a really good foundation."
The Swans will conduct a review into the post-AFL match party at the Pullman Hotel in Melbourne as they wrestle with making a call on the group's playing future.
Those suspensions are separate to a police investigation into sexual assault allegations.
In the second year of his tenure as Swans coach and at the helm of just his first finals, Cox said he had learned a "hell of a lot".
"Now I get a chance to really reflect on the season that we had," Cox said.
Talking of his players, he added: "They've been really supportive and wanted to action everything that we want to put in place. They've just been really hungry to improve.
"Our supporters, when you have 45,000 of them here tonight, they've shown that they're proud of the footy that we are playing."
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