He couldn't help but think about it more after the Wildcats' bid to cut the nets down in AT&T Stadium was cut short in the national title game on Monday.
"The hardest part is you want to leave on some joy," Cauley-Stein said. "You don't want to leave this tournament how we're about to leave it. It would have been so much better if we left it up on this stage swinging our shirts and wearing our hats backwards and taking goofy pictures that are going to be with us forever."
Instead, the Cats walked off the floor as the Connecticut Huskies enjoyed the celebration Cauley-Stein so vividly imagined. As if a 60-54 loss to end a remarkable NCAA Tournament run wasn't painful enough.
"It's a long walk," Aaron Harrison said. "You just get the feeling that that could have been you and you kind of want to start over but you don't get start-overs in life and you don't get second chances."
Aaron Harrison is right about not getting second chances. The Cats won't ever shake the frustration that came with the 11 free throws they missed in 24 attempts. The nightmares of the loose balls they missed out on in being outrebounded 34-33, those won't go away anytime soon.
But neither will the moments that brought UK to within one win of its ninth national title.
Those three game-winners Aaron Harrison hit in in as many games -- no matter what he may say -- they'll still be seen on March Madness highlight reels for years to come. Those four instant-classic games a group of freshmen managed to win with grit, toughness and a steadfast refusal to give in, fans will still remember them for years to come.
Still processing the fact that their season was over, the Cats went through the internal tug-of-war between the sting of a too-recent defeat and the memories built on a run for the ages.
"I'm proud of the run we made, but this isn't what we planned on," Aaron Harrison said. "I'm not really satisfied with it, but at the same time we did make one of the best runs ever and we just came together as a team like has never been seen before."
As much the Cats captured the hearts of the Big Blue Nation with the unlikeliest of Final Four berths in the program's rich history, that togetherness is what those outside the UK locker room will never quite grasp. No one could be expected to, because there are moments when not even John Calipari is able to fathom what just happened.
"I can't tell you, even in that loss, I can't believe what these guys got done together," Calipari said. "Talking about a bunch of young kids that just went out there and believed and believed in each other and just kept fighting."
They had seemingly every reason to give up a month ago after their season hit its low point with a loss to South Carolina, but they rallied around each other and an as-yet-unconfirmed "tweak" in the postseason.
The same was true as UK faced deficits of at least nine points in the Sweet 16, Elite Eight, Final Four and national title game, but the Cats simply never gave in.
"These kids really fought and tried and what they accomplished, I told them, this was the best group I've ever coached as far as really being coachable and wanting to learn," Calipari said. "I've never coached a team this young."
Shouldering the unyielding burden of unprecedented preseason expectations, there was a time when it seemed unlikely that young team of talented players would jell into a cohesive unit. Aaron Harrison credits his coach for finally turning the bond the team had always shared into on-court results.
"I think Coach taught how to play basketball together," Aaron Harrison said. "We were always close off the court. We always hung out, but just what Coach taught us, it was just amazing that he could change us around and what everyone was saying about how we were selfish and couldn't play as a team, we just proved the world wrong really."
In the process of proving the world wrong, the Cats proved themselves and their coach right. Winning at the highest level with a group of gifted freshmen is indeed possible.
"The things we did and accomplished this year is just something we're always going to remember," Julius Randle said. "I wish we could have got more game, but I'm proud of the fight that we had."
That pride, of course, was twinged with a dose of dejection.
Randle sat back in the corner of his locker, answering questions politely but barely above a whisper at times. Andrew Harrison also handled his postgame responsibilities admirably, but with his eyes still damp with tears.
His twin brother kept a stiff upper lip as he addressed reporters, only coming close to losing his composure when asked about the hardest part of the loss.
"Just seeing the seniors like Jon Hood and Jarrod (Polson) just going out like that," Aaron Harrison said.
On that count, score one against the cynics who say Coach Cal's gifted newcomers care only about themselves and their immediate futures.
"At the end of the day with no one left, we knew that this team would never be assembled again," Polson said. "We realize that this is probably one of the best groups of guys we've ever had at Kentucky and probably that anyone will ever experience again, as far as pros or wherever people might go."
Those stay-or-leave questions, however, are for another day. For now, these Cats are only thinking about each other, the run they made and what they fell just short of accomplishing.
"It's just a blessing to be a part of this team because of the way we came together," Aaron Harrison said. "We're still one of the best stories ever and on paper we had the hardest run in NCAA Tournament history. It's nothing to be ashamed of. We just wanted to win."
To bring you more expansive coverage, CoachCal.com and Cat Scratches will be joining forces for the postseason. You can read the same great stories you are accustomed to from both sites at CoachCal.com and UKathletics.com/blog, but now you'll enjoy even more coverage than normal.