The Tayside outfit lost both their games on their maiden outing at the showpiece finals in Nottingham over the weekend.
But the Stars showed up well in the 4-2 semi-final defeat to Cardiff Devils and the 15-8 third-place match loss to Belfast Giants.
"It's been a great experience for our guys and hopefully next year we can come back here and learn from it, like Cardiff did," LeFebvre said.
"I had some time to reflect on Saturday's performance against Cardiff and I'm so proud of my players. It was a dream start for us to go 2-0 up in the first period.
"It was always going to be a tough task keeping that pace up all game against a team like the Devils, who are rightfully league champions.
"But to be the first team from Dundee to make it to this weekend, it's not to be sniffed at and I'm proud of that."
Dundee could hold their heads high after a great performance against the Devils in Saturday's semi-final, even if it was to end in a 4-2 defeat.
Vinny Scarsella teed up Kevin Hart on the blue line and he fired his effort past Devils goalie Ben Bowns to open the scoring. Stars then went two up as Brett Switzer's low diagonal shot beat Bowns at his bottom right hard corner.
The Devils started to claw their way back into the game six minutes into the second period as Joey Haddad found space in front of Dundee's goal to finish.
The EIHL champions pulled level when Mark Louis reacted quickest to tuck in an equaliser. Devils completed the comeback with nine minutes left as Joey Martin put them 3-2 ahead before Andrew Hotham confirmed their place in Sunday's final with a late empty-net goal.
It meant an early start on Sunday for the Stars who had to face fellow beaten semi-finalists Belfast Giants, who had gone down 2-0 to eventual play-off winners Sheffield Steelers.
The sides shared 23 goals with Justin Faryna netting two for Dundee, while Kevin Bruijsten, Joey Sides, Mikael Lidhammar, Matt White, Vinny Scarsella and Craig Moore were also on target for Stars.
LeFebvre added: "The third place game was a lot of fun I guess, but overall, we enjoyed the experience of being involved in this weekend.
"Both us and Belfast knew what we were in for in that game on Sunday and the pace of play there would be. It picked up a little bit in the latter stages.
"It's more an exhibition game for the fans. Lots of goals, not a lot of hits and penalties and some skills. But they have to figure something out about that game.
"If the league put something on the line for them, like some extra money, it might improve it as a spectacle and guys might go harder.
"Unfortunately, two teams have to play in that game and on this occasion, it was us and Belfast. I'm sure after seeing that, the league may look at it."
Sheffield Steelers took the silverware in an epic Sunday final, beating Cardiff Devils 6-5 after overtime in a game that lasted just under 95 minutes.
Saturday
Semi-finals
Cardiff Devils 4-2 Dundee Stars
Belfast Giants 0-2 Sheffield Steelers
Sunday
Third place play-off
Belfast Giants 15-8 Dundee Stars
Final
Cardiff Devils 5 Sheffield Steelers 6 (OT)
Dundee Stars head coach Marc LeFebvre hopes his side return to the play-off finals next year as a much stronger team.