The Oilers wrap up their back-to-back with a date against the Colorado Avalanche on Tuesday. The game can be seen on Sportsnet West and heard on the Oilers Radio Network, including 630 CHED. Puck drop is 7:08 p.m. MDT.
"We did our best to stay in the fight, but it was just a little too late... It's been a roller-coaster," McDavid said regarding being out of playoff contention.
"It's frustrating. We want to play in the playoffs as a team. I personally want to play in the playoffs. I'm not happy about it. It's going to be a long summer."
Oilers Head Coach Ken Hitchcock felt his club gave a strong effort despite the loss.
"At this time of the year, you want your team to compete at a high level and for the most part, we did," Hitchcock said.
The bench boss did, however, feel that his club's chances at making the postseason were skim before the game began.
"For us, it was official before tonight's game," he said. "It is what it is. We're out."
The Oilers and Golden Knights played a fast-paced, back-and-forth opening period but Cody Eakin's 22nd of the year at 15:27 gave the home side the lead to enter the second.
Eakin scooped up a loose puck in the neutral zone then attacked the O-zone all alone, rifling a wrister from the right dot that eluded Koskinen's blocker hand.
Midway through the period, the Colorado Avalanche received a point in their match against the St. Louis Blues, officially eliminating the Oilers from playoff contention.
"We still have a lot to play for. A lot of pride," said defenceman Adam Larsson. "It's what we're going to keep doing until the end this year."
Jonathan Marchessault added to the Golden Knights' lead less than one minute into the second period. The forward stripped Leon Draisaitl of the puck at the blueline then attacked on a partial breakaway. Marchessault snuck a backhander behind Koskinen, scoring his fifth goal against the Oilers this season.
With ample momentum going the Golden Knights' way, McDavid disrupted it with his 41st goal of the season and 115th point to tie his career high in tallies.
The Oilers Captain received a pass from Zack Kassian then slipped a wrist shot low on goaltender Malcolm Subban, who didn't budge when he faced the shot. Kassian and Draisaitl registered the assists on the play.
Vegas poured on the pressure late in the period but Koskinen did his best to keep the Oilers within reach. The keeper fastened his left pad to the post on Pierre-Edouard Bellemare's goalmouth jam, preventing the Golden Knights from increasing their lead late in the middle frame.
Down 2-1 with under one minute left in the match, the Oilers got an opportunity to tie it up on a 6-on-4 advantage after Tomas Nosek took an interference penalty and Koskinen was pulled.
Oscar Klefbom launched a point shot that hit the iron and the rebound was too hot for McDavid.
"Double post and out," said McDavid. "That's the way it goes. I tried to get a stick on it when it was just sitting there but it was a tough angle."
The Oilers will complete the back-to-back Tuesday against Colorado.