A goalless draw against Croatia confirmed an early exit for Roberto Martinez’s side with Morocco qualifying from Group F as group winners with Croatia runners up.
Lukaku was introduced as a second-half substitute as the Red Devils chased a winning goal that would have seen them reach the last 16.
The Chelsea striker, on loan at Inter Milan this season, missed three big chances to give his side the lead and as the full-time whistle went, was consoled by Belgium assistant Thierry Henry as he left the pitch in tears.
Lukaku did not start a single match for his country at the World Cup having carried an injury into the competition, having played just 22 minutes of league football since August.
Former England and Newcastle United star Alan Shearer defended Lukaku, pointing to his lack of fitness and insisting the rest of the squad are culpable for their early exit.