The East Yorkshire club’s big day out ended in embarrassment as they suffered the heaviest defeat in the competition’s 118-year history of finals.
It was the first time Rovers had been to Wembley for such an occasion since 1986 but Hudgell insisted: “We’ve got no arguments about the magnitude of the result.
“Leeds were very, very ruthless and they are a champion side.
“We need to go away and learn some lessons, regroup and look at how we can perhaps get to the same position again and make a better fist of it.
“Some people might take positives from the fact we got here but I always said before the game I wanted us to win it.
“I’m not interested in just being here and at the minute I’m finding it very difficult to find positives certainly after the kick-off.
“It’s a lovely occasion for me and my daughter to lead the side out but then it’s press delete on the TV I think.”
Asked what he would say to supporters as they headed back north, Hudgell said: “I’m a fan, too, but there’s no point sugar-coating it.
“There’s nothing I can say that can make their pain any less.
“We’ll carry on supporting Hull KR through thick and thin as it’s obviously a religion to people.
“Today’s a low but I suppose when we get to the end of the year and look back it is a milestone as we’ve got to a first major final but that’s where it begins and ends,” explained Hudgell.
“I just think it hurts for the fans as we never really had anything to cheer about.
“We were never at the races, got off to a slow start, should really have got on the scoreboard before half-time but didn’t and then bombed the first few sets in the second half.
“Then they just steam-rolled us. The disappointment is as much about we never really gave the spectators anything to shout about.
“No underdog has won here for nigh on 20 years and the gulf between the top four and the rest on the big stages is as big ever.”
As Hull KR’s players started coming through the bowels of Wembley Stadium on Saturday night, many of them still looked slightly stunned by what had occurred earlier in the day.
The young centre Liam Salter conceded losing in such a manner was “difficult to take.”
He said: “It’s the first time we’ve been here in a long while and to not put in a good performance, it’s hard to stomach.
“We were 16 points down at half-time and still in the game.
“But we gave them too much ball at the beginning of the second half and they got a roll on. They just played too quick for us.”
Salter, 22, maintains they will not be discouraged, however and will seek to atone for their poor display in 12 months time.
“We’ve got a taste for it now so hopefully it’s not long before we’re back here next year,” he added.
“We’ll be doing our damnedest to get back and put a few wrongs right.
“It was very loud out there but I felt all right and it was a really enjoyable experience (Wembley) but obviously we didn’t get the result we wanted and we now need to learn from it all.”