Austrian sisters Doris and Stefanie Schwaiger beat the British duo 2-0 (21-15, 21-12) to end the host's participation in beach volleyball, held at Horse Guards Parade, a spectacular venue a stone's throw from London landmark Big Ben.
"We'll look back at this and really enjoy it - but we're just a bit dazed and confused now it's over," Mullin said.
"We won a match here in our first Olympics - but what we've really achieved here maybe won't be evident until we're able to sit back and look at it."
Britain's men were eliminated on Wednesday.
Beach volleyball is not played by many people in rainy Britain. Dampney and Mullin both started out in indoor volleyball and used to played against each other when Dampney was in the England team while Mullin played for Scotland.
The pair have received attention from the British tabloid press, not least because they sport mini British flags on the back of their bikini bottoms and have painted their nails in elaborate patterns of patriotic blue, white and red.
"The Olympics is hopefully a springboard for better things for beach volleyball in this country, we need to start a petition to get a grand slam event here," Dampney said.
Teams from Brazil and the United States maintained 100 per cent records on Thursday as they cruised through to the knock-out phase.
Men's favourites Emanuel Rego and Alison Cerutti of Brazil breezed through a clash against Italians Paolo Nicolai and Daniele Lupo to come top of their pool after three wins.
Five-time Olympian Emanuel won gold with his former team mate Ricardo Santos in Athens in 2004. Ricardo is also competing in London with his own new partner, Pedro Cunha, and they too emerged undefeated from the pool phase.
Olympic champions Todd Rogers and Philip Dalhausser of the US had a comfortable victory on Thursday over Petr Benes and Premysl Kubala of the Czech Republic.
In the women's competition, Americans April Ross and Jennifer Kessy defeated Liliana Fernandez and Elsa Baquerizo of Spain in a three-set thriller.
Kessy and Ross have spent much of their careers in the shadow of compatriots Misty May-Treanor and Kerri Walsh, the only pair of either gender to have won Olympic gold in beach volleyball twice.
Both American women's pairs go into the knock-out phase undefeated, as do their main rivals, reigning world champions Juliana Felisberta and Larissa Franca of Brazil.
There are 24 teams per gender competing in the beach volleyball event, split into pools of four, of which 16 qualify for the knock-out phase.
The top two teams in each pool go through to the knock-out phase directly as do the two third-placed teams with the most points. The remaining third-placed teams play in the lucky loser matches to fill the last slots in the draw.