An 11-6 defeat at the Stade Felix Mayol was heartbreaking after Leigh Halfpenny had booted the Welsh side into a 6-0 lead.
But Toulon’s second-half introduction of replacement fly-half Louis Carbonel worked wonders as he set up a try for veteran Italian Sergio Parisse and kicked the rest of his team’s points.
Delaney said: “I’m immensely proud of the effort, but as a group we’re disappointed. We spoke about key moments at the end and we had an opportunity.
“We had a couple and we have to take them. We’ll be honest about it, but I can’t fault the effort – it was huge. It was an immense effort and tactically I thought we were playing the game well.
“We knew it would come down to one chance and we would have to make sure we were good enough, but sadly we just didn’t quite nail it.”
Scarlets were heroic throughout as they matched Toulon’s huge physicality with some brilliant defence and work at the contact area.
With just minutes to go on the clock it looked like the Scarlets had driven over for a match-winning try, but replacement Tyler Morgan had spilled the ball.
“When you’re playing in big games against outstanding teams, it comes down to fine margins. We got close, but we’ll be critical about it,” Delaney said.
“The effort was outstanding. For the guys to get in the photo frame is great, but we want to make sure the next time we come here we’re six points better than we were.
“We’ll lick our wounds, get tight together as a group, and try and map out the next campaign which we hope will be a big one.”
