Nigeria lost 1-0 to hosts Equatorial Guinea in the semi-finals on Tuesday.
The Super Falcons had won every edition of the competition since it was launched in 1991.
This is the 6th AWC in its current format with a finals tournament.
Nkwocha says the team must now concentrate on Saturday's third place play-off against Cameroon.
"Now we have to focus our minds and put our heads together and see what we can do to get third place," she told BBC Sport.
"We are out of the competition and no one really wants to play [in the third place play-off] but we have to."
The former African Footballer of the Year admitted that Nigeria had not played their best in Equatorial Guinea.
"In the preliminaries the pitch we were playing on wasn't good for me - it was like playing at primary school," she complained.
"Even if you take Ronaldo and Messi they couldn't do anything.
"In the semi-final we played on a good pitch but the referee was bad to us and the decisions were bad so there was nothing we could do."
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