Roberto Martinez's side needed a win against the 2018 World Cup finalists to progress past the group stage, but they were unable to find the back of the net.
"It's not easy to win games in the World Cup," Martinez told BBC after the game. "We weren't ourselves in first game we had a deserved defeat in second game.
"Today we were ready, we created opportunities and today there is no regrets. We're out but we can leave with our heads held high."
Croatia dominated from the first whistle and had a chance inside the opening 20 seconds but Ivan Perisic blazed his shot over the bar.
With Luka Modric preparing to take the spot-kick, referee Anthony Taylor was sent to the monitor by the VAR, and the decision was overturned for an offside in the buildup.
The rest of the half turned out to be a tense affair, but the game came to life after the break.
Belgium goalkeeper Thibaut Courtois was called into action early on and prevented Croatia on three separate occasions.
Lukaku was brought on in the second half, and the Inter Milan striker missed two big chances in quick succession.
Just after the hour mark, Lukaku reacted first to a rebound and managed to strike the post from close range with the goalkeeper out of position.
The striker then headed another easy effort over the bar with the goal at his mercy.
It was not Lukaku's night -- the striker went on to miss another two open goals as Croatia survived Belgium's late attacks.
- Anthony Taylor