Instead of contesting the World Cup final, Wales will return to Eden Park next Friday and face a consolation third place play-off that could easily test their powers of motivation.
But Jones and company still have the incentive of matching Wales' previous-best World Cup performance, when they finished third in 1987.
"The key for us now is to hold our heads up high. It would be lovely to go out with a win on Friday," former Wales captain Jones said.
"We have shown our character. We have to make sure we go out now and do ourselves justice."
Jones went on midway through the second period of Wales' 9-8 semi-final defeat against France, playing his part in a magnificent performance after skipper Sam Warburton was sent off just 18 minutes into the contest.
Wales missed four kicks at goal, and had just one of those strikes gone over, then they would have accomplished their dream and made next Sunday's final.
Asked if it was the most painful defeat of his career, back-row forward Jones added: "I think it is.
"It's difficult to play 65 or so minutes with 14 men. It is incredibly difficult physically, and it's also hard emotionally.
"I've had some fantastic highs and lows over my career, but it was pretty emotional at the end. All the boys were drained. I've never sat in a changing room like that before.
"But as a group of players, we've shown a lot of character at this World Cup.
"We came to New Zealand to do great things, and we were close to getting where we wanted to be, but it was taken away.
"I've had a fantastic journey, and I am grateful I have been able to contribute. It is well-documented that I was almost going home four weeks ago (due to injury).
"Our preparations were turned on their head after Sam's sending off, but I still thought we did enough to win the game. We dominated possession and territory with 14 men in the second half, but we could have done with the bounce of a ball.
"But it didn't happen and we cannot dwell on it. The history books will say we went out as losing semi-finalists.
"It's incredibly tough, and something some of us may never get to rectify."
Jones will be 34 when the next World Cup comes around in England four years from now, and he believes Wales have a rosy future, especially after so many young players emerged on the global stage.
"The boys will learn a lot from this experience because you can pick up so much from matches like these and times of adversity," he said.
"There are a lot of youngsters here in key positions who certainly will be around at the next World Cup, and maybe the one after that. It bodes well for Welsh rugby.
"That has been the beauty of the squad at this World Cup. All the boys have played to their ability, and when that happens you get the results you need and reach the World Cup semi-finals.
"People gave everything, and the opportunities just weren't quite going over. As a player and as a team, you just have to keep creating those opportunities and hope and pray one goes over.
"We seem to have been on the wrong end of a few over the years, so it would have been nice for one to fall our way.
"France came with a game-plan and won the game. You can't take anything away from them, and you have to wish them all the best for the final."
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