The coach, players and fans could never have imagined a better result when Group F with Italy, Paraguay and Slovakia kicked off two weeks ago.
"I'm disappointed but nobody is more prouder than me about what this team has achieved," said All Whites coach Ricki Herbert, a player at the country's other World Cup run in 1982.
"To go home unbeaten, I wouldn't even have dreamed of that coming into this tournament."
New Zealand ended the group stage of the tournament on three points, behind group winners Paraguay on five points and Slovakia on four.
A final match 0-0 draw with the south Americans was the team's third stalemate of the Cup and follows the shock 1-1 scoreline with Italy that helped boot the reigning champions out of South Africa 2010.
Italy were beaten by Slovakia and leave with just two points.
Herbert said football fans and experts had been shocked by the team's performance and should never again underestimate New Zealand - a country better known for the All Blacks, its powerful rugby union side.
"A lot of people thought we shouldn't be here, a lot of people thought we had amateurs in the side and we weren't up to it. But I think that is dead and buried now."
The players remained on the pitch well after the final whistle at Polokwane's Peter Mokaba Stadium, hugging each other and saluting a small but vocal group of supporters that chanted and sang for the team.
New Zealand's World Cup run has captured the imagination of fans back home, sparking huge support in a rugby-mad land, and ended their campaign as many fans second favourite team.
The All Whites have few big names, but appeared to come together as a unit that proved hard for opponents to break down.
Despite exceeding all expectations, inspirational captain Ryan Nelsen, the only player from a major football league - the English Premiership - and who played the final match with a stomach ailment, was shattered the story had now ended.
"It's an amazing achievement ... but I guess I just feel really gutted," he told reporters.
"I feel disappointed that the whole country has got behind us, I feel like I want to say sorry to them. We got so close but we just didn't get there. I feel gutted."
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