"We were all emotional and it showed in a couple of early overs. The experience is amazing for us," Romaine said after his side crashed to a 243-run defeat in their opening match at the Queen's Park Oval here on Thursday.
"It was a wonderful experience. Some of the old players were also there. They are disappointed with the result, but they know it is a special day for Bermuda."
Bermuda failed to cope with the Sri Lankan seamers and were dismissed for a paltry 78 chasing a mammoth 322-run target, with Fraveez Maharoof (4-23) and Lasith Malinga (3-10) doing the maximum damage.
"I think we have done well playing against Sri Lanka. We have seen them score more than 400 runs against the Netherlands (at Amstelveen) last year," said the Bermudian skipper.
Romaine said his batsmen found it difficult to read Malinga, a seamer with a deceptive round-arm action who rattled Bermuda with three early wickets.
"We did okay in the field, but the frontline batsmen could not handle Malinga. Tackling that style (of bowling) was a new experience for all of us. I hope our top order gets some runs in the remaining two matches," he said.
India and Bangladesh are other sides in Group B, with the top two qualifying for the next Super Eight stage.
Bermuda are one of the six non-Test-playing nations in the fray, others being the Netherlands, Scotland, Ireland, Canada and Kenya.
Sri Lanka captain Mahela Jayawardene believed the minnows could improve if they played more matches against big teams.
"We also didn't stretch the West Indies or England in the 1975 World Cup, but we came back strongly to win in 1996," he said.
"There should be a proper development and I'm sure the ICC (International Cricket Council) is monitoring the progress of these countries. The more games they play at this level, the more they will improve.
"For us, it is always good to have these countries playing in big tournaments. That was how we learnt. Hopefully, they will do the same. We have to take into consideration that they are making their debut."