The Rockets lost to the Golden State Warriors 101-92 in Game 7 of the Western Conference Finals.
At one point, they missed a record-setting 27 straight three-pointers.
After the game, some of the players spoke to the media and said they were devastated.
"Heartbroken to the fullest. I know I dreamed about this moment. I feel like I failed myself, failed the city. I don't know what to say," said Gerald Green.
Rockets reaction to Game 7 loss
"It sucks because you know you could win this series if we had just one more playmaker. Chris (Paul), if he was out there, we would have been playing on Thursday," Eric Gordon added.
Eric Gordon on Rockets loss
Houston Mayor Sylvester Turner and Yao Ming tweeted messages of support.
Fans are also standing by the team, saying they look forward to next season.
"I'm sad, I'm so sad the season is over. The Texans are coming. Our Astros did it. But man, next year. CP3, we need to get you healthy. I need you to get healthy. We can do this. We got to come through next year. We got it," one Houston Rockets fan said outside Toyota Center on Monday.
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