But he says the key to beating them is simple: improve at a faster rate than the All Blacks.

The majority of the Wallabies squad will leave London on Monday (Tuesday AEDT) still licking their wounds after falling short in the World Cup final.

The All Blacks withstood a spirited fightback from Australia and rose to another level to defend their title with a 34-17 triumph at Twickenham.

The Wallabies made the final just 12 months after Cheika took over as coach following a turbulent period in Australian rugby.

Only a handful of players won't be around for the next World Cup in 2019 and Cheika wants the pain of losing to New Zealand to spur them to chase the title in four years and, more immediately, Bledisloe Cup revenge.

"We're just starting with all of that stuff, it's not the finish," Cheika said.

"I really want to push on from here and use it as a scar. You can't take this for granted, you can't take that you're going to get another one for granted.

"You're going to have to earn getting to another [World Cup final] and we're going to have to earn that over the next year or two in building the foundations to get another one when 2019 comes.

" … We want to build on what we've done. We've got so many things we've still got to do.

"We can make the game better in Australia at international level and provincial level, and also our own team, the way we play, our results and the support behind us."

The Wallabies' World Cup will be remembered for a loss in the final to arch-rivals New Zealand.

But the journey to get there showed a remarkable turnaround under Cheika's tutelage.

They played attacking rugby, knocked England out of their home tournament, displayed immense courage and guts to beat Wales, survived a scare against Scotland and won worldwide respect.

Cheika praised the All Blacks for their win as they sent out champion five-eighth Dan Carter on the best possible note and captain Richie McCaw mulls over his decision to play on or retire.

Cheika conceded the Wallabies' lineout struggled to give the team an attacking platform, while also lamenting missed opportunities.

"I thought we were a bit unlucky really … [the penalty for prop Sekope] Kepu's late tackle on [Dan Carter] was bordering on the edge. They lay down and played for a penalty.

"We really had them under pressure in that moment … there were a few others in the game that just at the key moment changed the momentum."

The challenge for the Wallabies is to show that they weren't a one-off flash in the pan.

They'll get their next opportunity under Cheika in a three-Test series against England in the middle of next year before a re-match against the world's best team, All Blacks.

Winning the Bledisloe Cup isn't the same as the World Cup, but it can be the foundation block moving forward.

"I don't know, but I think we've closed the gap on [New Zealand]," Cheika said.

"They've won two out of three this year but I think we've been much more competitive and we've been up for the battle.

"We're building our own quality. They're getting better as well … for us to get close to them we've got to improve at a faster rate than they are and I think we've got that in us.

"So when the games come against them, we've just got to be ready to do battle and win them."

Cheika has a contract with the ARU until the end of 2017. He has already led a revival in a short period and steadied the ship.

The bulk of the squad will continue on while Will Genia and Sekope Kepu have indicated they have played their last Tests and Adam Ashley-Cooper, Matt Giteau and Drew Mitchell are yet to announce their intentions.

Flanker Scott Fardy said: "We wanted to create some positivity around rugby in our country, I'm incredibly proud of this group."

Cheika could not pinpoint one standout moment of the World Cup, but said: "I've genuinely enjoyed it, I don't want to go home.

"The camaraderie, the respect the lads have shown and the sacrifices they've made, the selflessness, their loyalty to the team.

"I'm disappointed for our fans because I know there would have been parties in Australia and they didn't get to celebrate like they wanted to.

"But we are so proud they were behind us and so happy they were behind us."