Day finished with a one-under 71 on Sunday, his best round of the week, to finish at three over for the tournament and well down the leaderboard.
John Senden also carded a 71 on Sunday to finish alongside him at three over while major rookie Rhein Gibson closed with 78 to finish 10 over.
Marc Leishman and Adam Scott were the top Australians, finishing tied for fifth.
Day, the Australian world No.6, arrived at Royal Liverpool declaring he was confident of finally making his mark at the UK major, having never finished higher than tied 30th in four attempts.
However, Day says it's back to the drawing board as he looks ahead to next year's event at St Andrews.
"I'm kind of puzzled right now with kind of how to play true links golf," Day said.
"It's a little disappointing, getting in here last Friday and preparing the best I could.
"I felt like I was kind of fighting with myself over my swing throughout the week.
"I did all I could and the best I had was three over.
"I really don't know what it is. I think it may just be one year when I go and play well and that could change it."
The 26-year-old will take a few days off early next week but insists he'll be fully fit for the World Golf Championship event in Akron, Ohio later this month.
With a phenomenally-consistent record in majors played in the US, Day is eagerly awaiting next month's PGA Championship at Valhalla Golf Club in Louisville, Kentucky.
"I've never played there and have heard it's tough," Day said.
"There's still another major to go so hopefully I can win that one."