The England manager saw his side defeated 30-22 but only after launching a stirring fightback which saw them come back from 17-3 down to lead 22-20 midway through the second half.
New Zealand, who have won all 13 matches in 2013 with just one remaining, scored three tries, two from wing Julian Savea and one by number eight Kieran Read.
England scored a lone touchdown via Joe Launchbury b ut the pressure they exerted as the game wore on saw fly-half Owen Farrell slot five penalties and a conversion to give Lancaster hope for the future.
Lancaster said: "If you went into the England dressing room, we are desperately disappointed to have lost to a team that has been unbeaten all season.
"Our belief in ourselves and the direction we are going is positive. The players have been great role models and they play with pride and character every time they pull on an England shirt."
Asked whether England could win the World Cup, Lancaster added: "We don't talk in those terms.
"We talk about belief in building a team. when you are putting the jigsaw together of building a team we are definitely moving in the right direction.
"You've got pride in the shirt, a great coaching team and backroom staff and a Twickenham crowd 100 per cent behind the team. All those things help in piecing the jigsaw together to be the best you can be when the World Cup comes around.
"It's been about winning here and now but also building the team to win in 2015 and that is our aim.
"We were sixth in the world when we started, third in the world now, pushing second where I think we should be. That was the stated aim by the end of this season. We've got the Six Nations to go, a summer tour to New Zealand and if we keep progressing that should be achievable."
Backs coach Andy Farrell was delighted with the commitment of the side who play New Zealand four times next year, including three times on their summer tour.
"I'm made up about that," said Farrell. "We need as much experience as we can.
"But I'm absolutely gutted for the players, gutted and proud as punch, especially of the forward pack because they worked their socks off, mauling New Zealand to death really.
"We just lacked a bit of continuity towards the end, two exits that went wrong for us, a couple of line-outs that went astray and suddenly continuity was slipping a bit.
"That's the reason we have a dejected changing room. the boys felt they deserved a bit more."
New Zealand were disrupted after 26 minutes when star fly-half Dan Carter, winning his 100th cap, limped off with an injured Achilles to be replaced by Aaron Cruden.
All Blacks captain Richie McCaw said of Carter: "His contribution has been phenomenal. I've played alongside him for a lot of those Tests. He's a calm head, makes my job a lot easier.
"We take for granted how good he is, we expect great things every time and he's one of the reasons the All Blacks have had so much success in recent years."
New Zealand head coach Steve Hansen reflected on how England were catching the top two, New Zealand and South Africa, and said: "There is not much between the top few nations in the world.
"The key thing to international rugby is that if you are standing still you'll get passed. England and other teams will be better than they are now and we are going to have to be.
"The key is we have to adapt to playing in the breakdown, one area if we look at ourselves we can be a whole lot better."
Lancaster, meanwhile, whose next match is France away in the Six Nations, singled out two players.
"The two Billys, for me, were exceptional," said Lancaster. "Vunipola in only his third start at Twickenham shows what a force he is going to be in the rugby world. Twelvetrees, after having a disappointing first Test against Australia, had an outstanding game."