The 28-year-old is a winner - virtually everything he's been a part of over the last three years has been successful - and many wondered if he could play a leading hand in helping the Kiwis to defend the world title they won in 2008.
Last week he was named the world's best player by the Rugby League International Federation, which was an incredible achievement after five years away from the game.
Williams certainly had an impact on the World Cup - the Kiwis wouldn't have made the final without him after a brilliant performance in the dramatic 20-18 semifinal win over England - but he was powerless to stop Australia this morning.
He didn't have a poor game - he ran for 140m in 17 carries and produced three tackle breaks, 29 tackles and five offloads - but it also wasn't his best and Australia's tactic of sending multiple defenders at him worked. Even still, his five offloads was only one less than Australia's total.
"Some of the stuff didn't come off, but that's Sonny," coach Stephen Kearney said. "He wants to try to make an impact on the game and he was doing that right to the end."
It meant Williams' chance to become the first person to win the World Cup in both rugby union and rugby league ended in disappointment.
"It was never about that," he said. "It was just about having no regrets when I retire. Just being a part of it... just very disappointed right now. You win some, you lose some. It's been a privilege to put the Kiwis jersey back on. Just really disappointed for the fans back home and our families.
"I'm heartbroken. I'm really disappointed. I left it all out there today. That last 20 minutes was disappointing. I tried to overplay my hand and try to come up with something special and it wasn't to be. I definitely feel bad for the brothers but, full credit to Australia, they were just too good today."
Williams might play for the Kiwis again next year after agreeing to return to the Roosters for another season but it's doubtful he will be back for another World Cup campaign. He has indicated he will return to rugby union in 2015 in the hope of playing for the All Blacks and their defence of their World Cup before attempting to win Olympic gold in sevens in Rio in 2016.
By then he will be 31 and he told the Herald earlier in the World Cup he might be ready for retirement at the end of 2016.
Williams' impact on his teammates was plain to see when they gave him an emotional haka at the international awards function and many were struck by the amount of work he puts into his game and preparation for games.
"It's been a pleasure working with him," Kiwis assistant Ivan Cleary said.
"He's right at the top of the tree in terms of elite players in our game and that's coming from a guy who hasn't played for five years. That in itself is phenomenal. Just the way he carries himself, the way he prepares, it's a pleasure to work with someone like that."
- Michael Brown of APNZ in Manchester
