Paul Merson hopes to land the Walsall manager's job on a permanent basis when he meets club owner Jeff Bonser for talks on Monday.
Despite a dramatic 3-2 win over Rotherham at a packed Bescot Stadium the Saddlers, who had lost their previous five matches without scoring a goal, were relegated because Gillingham picked up a point at Stoke.
Scotland international defender Paul Ritchie's stoppage time winner for 10-man Walsall was to no avail.
So Merson went home with the sponsor's man-of-the-match award and dreams of becoming the full-time manager, while still blaming himself for the team going down.
He explained: "I know I have not played anywhere near as well as I could have done this season, or we could have had another four or five points.
"But I still have some gas in the tank as a player."
He was put in charge of the last four matches following the sacking of Colin Lee, and the fans have warmed to his more adventurous style.
After the game former England star Merson said: "I would give my right arm to get the job because it would be a massive opportunity for me and I am sure Walsall will bounce straight back.
"I could not have asked for any more from the lads today. We must have made 20 chances.
"But there are 46 games in a season and we could not rely on Stoke doing us any favours."
Merson now expects to lose the services of two key players at least - long-serving 'keeper Jimmy Walker, who he rates as better than many in the Premiership, and defender Ritchie. Both players' contracts end this summer.
Rotherham manager Ronnie Moore, whose team were safe before this game, was very disappointed with their performance.
He said: "The game should have been over at half-time, but missing so many chances was unbelievable.
"If I had been a neutral I would have thought something was not quite right. We owed it to ourselves to try and win the game and finish on a high."
Asked about his future with Rotherham, Moore replied: "I have a year left on my contract. I know there has been speculation about Burnley, but just watch this space."
Both sides could have scored in the first half but Mike Pollitt pulled off a brilliant save from Walsall striker Lee Bradbury, then Walker kept out efforts from Michael Proctor and Shaun Barker, while Martin Butler failed to get in a shot when clean through.
Walsall broke the deadlock three minutes into the second half through Simon Osborn, but six minutes later Osborn brought down Scott Minto and Proctor equalised from the penalty.
Then Osborn was sent off in the 61st minute for a second bookable offence, but Walsall's 10 men regained the lead eight minutes later through substitute Mark Wright.
It looked all over for the Saddlers when Ian Roper was ruled to have fouled Richard Barker in the box in the 90th minute and Paul Warne equalised from the spot, only for Ritchie to head the winner deep into stoppage time from Merson's corner.
Then the big crowd had to wait a few minutes before being told by the stadium announcer that Walsall were relegated because of Gillingham's draw at Stoke.