Megan Rapinoe called it "a sick joke" after missing her penalty in the shootout in her farewell Women's World Cup as holders the United States were turfed out in the last 16 by Sweden on Sunday.

The Americans were searching for an unprecedented third straight World Cup title but instead are heading home after a night of drama in Melbourne.

Rapinoe, the 38-year-old who is retiring from football at the end of the season, came off the bench and then missed a penalty as Sweden won 5-4.

For so long the face of women's football at home and abroad, she was close to tears in her post-match interview with Fox Sports.

"I mean, this is like a sick joke. For me personally, this is dark comedy. I missed a penalty," she said.

"This is the balance to the beautiful side of the game. I think it can be cruel and just not our day," she said.

Forward Alex Morgan, like Rapinoe part of the teams which won the titles in 2015 and 2019, was also crushed.

"Just devastated. Feels like a bad dream and I don't know, the team put everything out there tonight. I feel like we dominated, but it doesn't matter," she said.

"On the day we're going home, it's the highs and lows of the sport of soccer it's just, it doesn't feel great... it's a tough one to swallow," she said.

Morgan, 34, was uncertain about her future with the team.

"I don't know, I was so focused on the World Cup that I don't know, I'm just ready to get back to San Diego, get back to work, go from there," she said.

United States coach Vlatko Andonovski, who had been under pressure after a series of underwhelming performances in Australia and New Zealand, said his team deserved to win.

"I'm very proud of them and devastated for them that we have to go out the way that we did. I thought we deserved to win this game, I thought we created enough to win this game," he said.

"We put up a fight, we represented this country proudly and showed what we stand for and did everything right."

Lina Hurtig squeezed home the winning spot-kick for Sweden after Zecira Musovic pulled off an incredible 11 saves during the game to keep them in contention.

US skipper Lindsey Horan said it was a cruel way to end the tournament.

"Penalties, to be frank, they suck. They're cruel, I've gone through too many in my career, and I'm proud of every player who stepped up to take one today," she said.

It was always going to be hard for Andonovski to fill the shoes of Jill Ellis, who led the team to back-to-back World Cup triumphs.

But he did not want to dwell on what his future holds.

"I thought we had a great game plan, great strategy. We executed the game plan, we had the right personnel on the field to do that and if I had the chance all over again I'd probably do the same," he said.

The willingness of Rapinoe and other US players to express their political views, along with their successful campaign for equal pay with the men's team, has earned them support from some politicians on the left and opposition from others on the right.

Back home, First Lady Jill Biden hailed the team.

"You made this sport matter. Today, you inspired us with your grit and determination. We are proud of you," she tweeted.

"Always remember that you encourage women and girls everywhere to show up and fight for their dreams," she wrote.