Harry Kane converted the rebound after his 104th minute penalty was saved by Denmark keeper Kasper Schmeichel, to decide the contest.
England won the penalty after Raheem Sterling went down after slight contact from Joakim Maehle on the right side of the box by the byline.
Referee Danny Makkelie pointed to the spot and did not consult the video assistant referee.
“It bothers me to know that the penalty was not right,” Hjulmand said.
“The players put in a lot of effort. We didnt want to be eliminated like that.”
The result ends a remarkable campaign for Denmark, who had star Christian Eriksen collapse on the pitch with cardiac arrest in their opening game, a 1-0 loss to Finland, before reaching the semis.
“Obviously, it’s a big disappointment that we’re so close to the final, and different circumstances during the match mean that we’re not taking the last step,” Hjulmand said.
“It has been amazing what the boys have done. There’s a fantastic power within these guys.
“They play football in a fantastic way. We’ve been attacking, scoring goals and showed our true selves.
“The players just went on with everything they have both off and on the pitch.”