Denmark came into the tournament after reaching the semi-finals of Euro 2020 and had enjoyed two wins over France in the recent Nations League campaign.
However, things fell apart in Qatar.
They drew their opener with Tunisia before losing to France and Australia, finishing bottom of Group D with one point and only one goal scored.
"I have a feeling that we have to be careful not to take it for granted, that we have done as well as we have (in recent years)," Hjulmand told a media conference on Thursday.
"Football is great when it's working, but little things can make it go the other way."
His team struggled to make things work on the pitch, and off it there was frustration that issues such as human rights and diversity in Qatar distracted the players from the football.
"Whatever they (the players) do, they would do something wrong. They had to be activists, (but) there has been a feeling of 'what do we have to do to do the right thing?'," he said.
"I think the debate around Qatar has been extremely difficult, and I think it is extremely difficult. I am very envious of those of you who think you have the answers."
Praised for his handling of the aftermath of Christian Eriksen's heart attack at Euro 2020 and their subsequent run to the semi-finals, the 50-year-old coach said he was undecided about his future
"I have no conclusions on anything at all from my side," he said when asked about his plans.
