The World Golf Championships-Accenture Match Play winner finished ten under par, four behind champion Charl Schwartzel, for a share of fourth place.
The Englishman was two under for the day after 11 and right in the hunt, but a visit to the water extinguished his hopes of a first Major.
"Yeah, 12 was obviously a killer for me," he said.
"It was probably the one bad swing I made out there. I just pushed it about ten yards with a nine iron and paid the penalty.
"I dug in deep and made some birdies coming in, but I think I'm going to come up a little short unfortunately."
After opening with a level par 72, Donald finished with three successive rounds in the 60s and chipped in at the last to join Tiger Woods and Geoff Ogilvy on ten under.
"I didn't quite cut my drive in and had an awkward stance right up against the bunker and shot really came off perfectly," said Donald, whose approach to the 18th hit the pin and rolled back off the green.
"It's a drill I work on sometimes where I get my left foot in front of my right foot and was able to hit a pretty good shot and, you know, couldn't believe it when it hit the pin.
"I thought that I was going to have a really good birdie putt and when I hit the pin, I was just a little bit more determined to try and make that.
"You don't want to know what I said under my breath when I made it, but obviously, yeah, glad it went in."