The Welsh region fell 29-28 to Biarritz Olympique as another scintillating Heineken Cup quarter-final went down to the wire.
Again, it was the home side that prospered at the end of a see-saw battle of the highest calibre.
“We had plenty of other opportunities to have won the game comfortably,” a downcast Jones told Sky Sports after the match.
“We don’t come to arenas like this and get intimidated, we come to be brave and to play.
“I’m heartbroken for my team. We possibly deserved to get more out of the game than we got. It was two teams going at it hammer and tongs.
“Im always proud of my team and they have played with a lot of heart and courage – but sometimes you need a little bit more than that.”
However Jones turned his attention to the remainder of a season that could still yield silverware via the Magners League. He said. “There is still some rugby left this season but our Heineken Cup dream is over.”