Thuram, 36, returned with a French record 142 caps, while Makelele, 35, represented the Bleus 71 times.
"This elimination is very difficult to take," said Thuram. "It is even more difficult for me because it is my last match with France."
Thuram was benched after France's 4-1 loss to the Netherlands and didn't play against Italy in the rematch of the 2006 World Cup final.
"I always said this would be my final competition," said Makelele after the 2-0 loss to Italy. "I have no regrets at finishing now."
Zinedine Zidane, Thuram and Makelele had retired after Euro 2004 but returned to lead France to the 2006 World Cup final, which it lost to Italy on penalty kicks.
Injured captain Patrick Vieira and goalkeeper Gregory Coupet (who has expressed a desire to move to the United States) were also expected to retire.
Thierry Henry, France's all-time leading scorer with 45 goals in 102 matches, said he wanted to continue.