The Bulldogs lost 8-0 to UCLA in a game they never were in after falling behind early. The Bruins (49-17) won their first national championship in baseball.
Mississippi State (51-20), playing in its first College World Series finals, went further than any other Bulldogs team had gone in nine appearances in Omaha.
"What they've done is lay a foundation for some future teams, because we're going to come back here and we're going to win this thing," Cohen said. "That's what we're here to do, that's why I came to Mississippi State, and we're going to keep knocking that door down."
UCLA's Eric Filia drove in a career-high five runs and Nick Vander Tuig limited Mississippi State to five hits in eight innings.
Vander Tuig held off the Bulldogs when they threatened in the fourth, fifth and eighth innings and recorded his fourth win in the NCAA tournament. Vander Tuig (14-4) struck out six and walked one. David Berg pitched the ninth.
Filia produced runs with a sacrifice fly, squeeze bunt and two base hits as the Bruins collected 12 hits and scored their most runs in 18 games.
The Bulldogs were 0 for 14 with runners in scoring position in the finals, 0 for 8 on Tuesday.
"To beat us like they did today, and to do what they did to our pitching staff, which I think is one of the best in the nation," Bulldogs right fielder Hunter Renfroe said. "We didn't do what we were supposed to do. We didn't put up run support like we should have."
Bulldogs starter Luis Pollorena (6-4) lasted one inning. Closer Jonathan Holder, the fourth Mississippi State pitcher, came on with one out in the fourth inning and went the rest of the way.
UCLA allowed four runs in five games to set a CWS record for fewest in the metal-bat era that started in 1974.
The Bruins' .227 batting average in the CWS also was the lowest since teams went away from wood bats. The Bruins' 19 runs in five games were the fewest by a champion since the CWS went to eight teams in 1950.
Mississippi State was playing for its first national title in a team sport and was the sixth straight Southeastern Conference team to make it to the finals.
The Bruins won the title in their third CWS appearance in four years and fifth all-time. They had made it to the finals in 2010 and were swept by South Carolina. Last year they went 1-2 in Omaha.
Cohen said he could see his program coming back to Omaha soon.
The Bulldogs won 25 games in Cohen's first year, in 2009, and two years later pushed Florida to three games in super regionals. Last year they won the SEC tournament championship but lost in regionals.
"Five years ago we inherited a club that won 23 ballgames," Cohen said. "They climbed all the way to the top, and we didn't finish the deal and that's disappointing."
UCLA made magic with an offense that started Tuesday 264th out of 296 teams in batting (.247) and 215th in scoring (4.7 runs per game), but among the national leaders in sacrifices, walks and hit batsmen.
The Bruins won three straight at home in regionals and went on the road to upset No. 5 national seed Cal State Fullerton in a two-game super regional.
Once they got to Omaha, the Bruins made themselves at home in spacious TD Ameritrade Park. UCLA produced just enough offense to support its superb pitching and defense in bracket play, and again in Game 1 of the finals.
The pitching and defense showed up again in Game 2, and this time so did the offense.
UCLA was up three runs early — a lead that has been insurmountable for every team in this year's CWS.
The Bruins, as usual, were creative and opportunistic. They used a hit batsman, a bunt that produced two Mississippi State errors, and Filia's sacrifice fly to lead 1-0 in the first. It was 3-0 in the third after Brian Carroll scored on a safety squeeze bunt by Filia and Pat Valaika's RBI single.
The Bulldogs called on their closer, Jonathan Holder, with one out in the fourth after Cody Regis singled in another run. Holder hit Carroll to load the bases, and another sacrifice fly made it 5-0.
"As far as Mississippi State goes, they'll be back," Bulldogs shortstop Adam Frazier said. "Coach Cohen is doing the right things, the coaching staff has it going in the right direction. I trust coach Cohen will get it to what it is supposed to be, and I've got a feeling this team will be back in the future."