The squad made it to the quarter finals after a win against Canada earlier in the week, but will go no further in the tournament.
“We are devastated right now. It is hard to lose a game like this,” head coach Hege Riise told journalists.
“We were well prepared. I think we played most of the game quite well. We created a lot of chances, probably should have finished a few of them. Now it’s quite hard. We are all devastated.”
She added: “We win and we lose together – so there is no one to blame.
"We stood up and we fight together and it wasn’t enough from any of us. So we are disappointed that we couldn’t get the fourth goal and take it to penalties.”
Bronze, a Manchester City and England defender, 29, who was born in Berwick, brought up on Holy Island and went to school in Alnwick, was in action during the match.