Iginla also had an assist to help Calgary rout Edmonton 6-1 on Wednesday night, but the Flames were eliminated from the Western Conference playoff race a few minutes after they finished off the Oilers.
"It's tough. I really thought we were going to find a way to sneak in," said Iginla, who missed the playoffs in nine of his 14 NHL seasons.
After Chicago edged St. Louis 4-3 in overtime, Anaheim beat San Jose 6-2 to knock out the Flames.
With one game left, Calgary is two points behind Chicago and Anaheim. The Blackhawks and Ducks -- tied for seventh in the race for the eight playoff spots - have clinched tiebreakers over Calgary.
"When we reflect back on it, it still doesn't feel good today and it's going to be very hard watching," Iginla said. "I know it's hard for our fans and it's hard for us as players, especially when the playoffs start on Wednesday and we're out. That's definitely the hardest time."
Iginla has 42 goals, marking the fourth time he has surpassed 40 goals and the first since scoring 50 in 2007-08. Alex Tanguay had a goal and two assists, Rene Bourque and Curtis Glencross also scored, Mikael Backlund Backlund had three assists, and Miikka Kiprusoff made 22 saves.
The veteran Flames were a major disappointment in the season's first half, which eventually led to the dismissal of general manager Darryl Sutter. Starting Dec. 23, the Flames are 27-11-8.
"If only we would have started a little bit earlier, we would be in the playoffs. It's certainly very disappointing," Tanguay said.
"If you get yourselves into the playoffs, it doesn't matter who you face. Look at Philadelphia last year, they got into the playoffs on a shootout and they went all the way to the Stanley Cup finals. It was a pretty remarkable stretch and the way we've been playing, I thought our chances were as good as anyone's."
Kiprusoff tied Mike Vernon's franchise victory record with 262.
Magnus Paajarvi scored for Edmonton. With the loss, the Oilers clinched last place overall in the NHL for the second consecutive season.
"We have a long way to go no question about that with being able to play with teams like Calgary, who are knocking on the door as a playoff team," Edmonton coach Tom Renney said.
Iginla capped off his first three-goal game of the season and 12th overall, scoring his 42nd goal at 6:47 of the third period. He chipped in a backhander from the side of the net to make it 6-1.
As hats rained down at the Saddledome, the crowd gave Iginla a standing ovation that eventually turned to chants of "Iggy!, Iggy!"
- Flames C Greg Nemisz had an assist for his first NHL point.
- Tanguay was stopped on a first-period penalty shot.
- Flames D Jay Bouwmeester has yet to make the playoffs in his eight NHL seasons.