Beckham suffers cup final agony
Galaxy lost 5-4 in a shoot-out to Real Salt Lake after a 1-1 draw but Beckham, who joins AC Milan on loan in January, will return to the US
"It's always tough losing, but we can be proud of where we've come to," said Beckham, who scored his spot-kick.
Meanwhile, MLS commissioner Don Garber says Beckham has been given the option of buying the league's 20th team.
The 34-year-old, who can invest in a future franchise under the terms of his LA Galaxy contract, has reiterated his desire to become an MLS team owner.
MLS currently has 15 teams with Philadelphia joining in 2010 followed by Portland and Vancouver in 2011, while Montreal
Garber revealed: "David has the option for our 20th team and that option can't be exercised until after 2011 or after he stops playing. So we've got some time to figure that one out."
Beckham, who is in the third year of a five-year contract with LA Galaxy, was denied his first silverware with the club on a night of high drama in front of 46,011 fans at Qwest Field in Seattle
Despite scoring his shoot-out spot-kick, Beckham could only look on as he suffered penalty heartbreak, this time with Galaxy, following similar traumas in an England
"We all want to win titles and personally I'd love to be successful," added Beckham.
"But I think we have been successful this year without winning tonight, we have quietened a few people along the way which is always nice but we couldn't finish it off.
"I wouldn't say it's tougher to lose on penalties but it's Russian roulette, that's just the way it is. It's not a nice way to lose.
"The people that step up are brave enough to step up and if you score, great and if you miss it's hard to take, but it just wasn't our night."
Beckham was impeded by an ankle injury he had picked up prior to Sunday's showpiece final and he limped badly throughout the 30 minutes of extra-time.
"I had three injections but they wore off after 50 minutes," said Beckham. "Bone bruising is like that, one of those injuries that doesn't really go away until you rest it and take some time off, so I will do that now.
"It is the end of the season and I have to just try and rest it and get ready. I'll have rehabilitation because it has been like this for a few weeks."
Galaxy took the lead in Seattle when Beckham teed up Landon Donovan and he crossed for Mike Magee to convert, before Robbie Findlay slotted home a leveller.
After Beckham scored his penalty Jovan Kirovski, Donovan and Edson Buddle all failed from the spot, allowing Robbie Russell to roll the winner past Saunders, who had replaced the injured Donovan Ricketts in the second half.
Beckham will play for Milan on loan for the second successive season when he joins the Rossoneri in January, but says he will return to Galaxy - possibly after playing for England at the 2010 World Cup in South Africa
"Of course, I said I would be back, hopefully after the World Cup and that's not going to change," he said.
