The 2-1 defeat in Klagenfurt dropped them to fifth place in Group 7 with only four points from five matches; effectively ending any hopes they had of qualifying for next year's showpiece.
"It's really hard to leave after such a defeat, but life goes on," said Contra, who during his final match for Romania wore the captain's armband in the absence of Cristi Chivu and Adrian Mutu.
"I wish my team-mates all the best and hope they go on to finish the qualifiers with their heads held high."
Contra, 33, plays in the Spanish first division with Getafe. He was capped 72 times by Romania and scored seven goals. He competed at UEFA EURO 2000 and 2008.
Group 7 is currently being led by Serbia, on 12 points, with France on ten after their victory over Lithuania on Wednesday.