The Bronze Medal match went straight to penalties after scores were locked at 1-1 after 90 minutes.
That’s when Danish keeper Stina Lykke became the hero, pulling off two sensational stops to deny Claire Polkinghorne and Sam Kerr from the spot as the Danes won 4-1 on penalties.
It was a heart-breaking end to an excellent tournament by the Westfield Matildas.
They dominated the first half against Denmark and deservedly took a 1-0 lead to the break thanks to Kyah Simon’s goal.
After Katrina Gorry swooped on a poor Danish clearance, she played a one-two with Simon before driving to the byline and squaring it for the striker to pounce from close range.
The second half was a tight affair with few chances until 10 minutes from time when Denmark equalised on the counter attack with a classy finish from Pernille Harder.
Neither side was able to find a winner in a tense finish before the Danes prevailed on spot-kicks.
The result means the Westfield Matildas had to settle for a fourth-placed finish after topping Group C with wins over Netherlands and China.