"I don't think it is possible, I have been beaten by something that is stronger than me, that's how it is," he told France 2 after stage 19 was cut short because of a hailstorm which left the road to Tignes temporarily impassable.
Alaphilippe wore the yellow jersey for 14 days, carrying the hopes of the public who are so eager to see a French winner for the first time since Bernard Hinault in 1985 and defying the pundits who felt he would wilt in the Pyrenees.
In the end it took a bold break from Egan Bernal of Team Ineos to take it off his back.
"I expected it," said Alaphilippe who is now 45 seconds off the lead. "I gave the maximum. I have no regrets."
"It was a dream to wear it, I carried this dream longer than I had hoped and I beat myself up every day to keep a hold of it.
"From the moment I took hold of the yellow jersey I dreamed but I never thought I could win the Tour."
Bernal was leading the stage when it was stopped on the descent of L'Iseran.
Times for the stage were taken at the top of L'Iseran at which point the Colombian was over two minutes ahead of Alaphilippe on the stage.
The 22-year-old now looks the favourite to come through Saturday's stage 20 and claim his first Tour win.
Alaphilippe, though, can still dream of making the podium on the Champs-Elysees on Sunday.