The Owls lost 1-0 to Hull City in the Championship playoff final as Carlos Carvalhal's side missed the chance to lift Wednesday back into the Premier League for the first time since 2000.
Having spent four years at Celtic, Wallace knows a thing or two about brilliant fans, and the 31-year-old says that Wednesday's show of support at Wembley was not unlike something seen at Parkhead on a Champions League night.
“It was an incredible support that we took to Wembley,” he said via the Glasgow Evening Times.
“I have seen the Celtic supporters on a Champions League night at Celtic Park and that rivalled that. When you look at the Wednesday crowd they were unbelievable and they were singing non-stop and they all stayed back to cheer us at the end.
"They have been there all season for us and they have been unbelievable. The fans would have bitten your hand off to have a day at Wembley and the chance to get promoted."
It has still be an excellent season for Wednesday, with Carvalhal building the foundations to perhaps try go one better next term.
They may draw comfort from the fact that their poor start to the 2015-16 campaign might have cost them even an automatic spot, with the Owls' stunning form in the second half of the season being enough to win them a top-six finish.
But a more balanced, consistent season next time around and Wednesday might well be up there challenging for the top two.