The Football Association of Wales said it was "extremely disappointed" with the news its bid for four Euro 2020 games had been unsuccessful.
"Over the past four years, Wales has successfully staged three UEFA events - firstly, the Super Cup final in 2014, followed by the men's and women's Champions League finals in June this year," it said.
"UEFA ranked the Champions League final as one of their best events and praised the way in which the Cardiff 2017 local organising committee delivered the showpiece.
"The concept of taking Euro 2020 to 13 different countries was devised to allow smaller countries, like Wales, to have a unique opportunity of being involved in staging a major tournament. Wales has never staged a Euro or World Cup final and this was its one and only chance of doing so.
"The FAW complied with all of the bid requirements and has written to UEFA to request feedback on the decision so that it can understand the reasons behind the vote for future reference."
The statement concluded by wishing UEFA and Wembley all the best and saying it would now concentrate all its efforts on ensuring Wales qualify.
Welsh Secretary Alun Cairns expressed his disappointment.