The reigning DStv Premiership champions failed to overturn a 2-1 first-leg defeat to lose 3-2 on aggregate at the FNB Stadium on Saturday.
"Well of course it is sad because you always look at progressing and competing at this high level," SAFA Ceo Tebogo Mokoena tells KickOff.
"Of course, it's a disappointment, but that in itself we must still compliment Sundowns for reaching the quarterfinals.
"Because it is a bruising affair to even reach the quarterfinals.
"So we must compliment them but further say we are disappointed that we are not going to be in the finals.
"The club competitions, of course, mean a great deal for the country because it gives you that opportunity to gauge yourself against the rest of the continent.
"It tells you where you are standing, and gives you that exposure, playing in Africa can be tricky most times.
"That experience your players get from travelling, when they get into the national team it's easy for them to adapt."