Even though the West Indies were thrashed by 143 runs in their quarter-final match against New Zealand, Holder was pleased with his side's World Cup campaign as it seemed that they were not even going to reach the last eight at one point.
With a three-Test series against England coming up next month, Holder is looking forward to a change in format and meeting with new head coach Phil Simmons.
"There's been criticism but I'm proud of the way I've stood up," Holder told BBC Sport. "I'm not one to shy from responsibility or duck my head when things get tough.
"Our main focus at this point is to get ready for the England series. We'll obviously sit and have some discussions and come up with a plan going forward.
"It's my first time working with Phil, so I'm just looking forward to that."
While Holder admitted that the World Cup has been a "rollercoaster" for his side, the 23-year-old was proud to have taken nine wickets at an average of 39 and scored 155 runs, which included two half-centuries, at a brilliant average of 51.66.
"I had high hopes coming into the tournament, but it has been a rollercoaster," he said. "Although we've had some good games, we've had some bad games.
"I expected a tough job when I accepted the captaincy and it's been a tough time but I've learned a lot in terms of managing our players and trying to get the best out of them."