Kings XI Punjab lost out on a top-four berth, finishing sixth on the points table.
In an inside dressing room video shared by the franchise, Gayle spoke of the "sad" end his team have had to their title dream but also mentioned that it's important for them not let it "break you" mentally.
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"For me, it is a sad ending to the IPL, but you guys shouldn't let IPL break you," said the big Jamaican. "Actually, it should make you, teach you about life. That's the nature of cricket anyway."
"Cricket teaches you about life, ups and downs, you know it's all in the game."
"Just a special thanks to each and everyone for the support," he added.
After an interesting campaign where KXIP will rue the fact that they didn't close out 2-3 matches, skipper KL Rahul, however, said his boys can be "proud" of their efforts and backed them to do better next season.
"Really proud of the way we played. Will come back stronger next year and we will see some happy faces again," said Rahul.
"It has been a difficult year, tough year. That's how the game goes, that's how the IPL is. Let's take it on our chin and come back stronger next year," he added.
(Inputs from IANS)