'The Machine' was thrashed 5-0 by Price in his penultimate group match in Wolverhampton on Sunday.
The loss eliminated the three-time runner-up in the group stage, marking his earliest exit from the tournament since 2012.
Wade has since admitted he felt embarrassed by his display against Price, with the 42-year-old adding he felt overwhelmed by the effects of his ADHD and bipolar disorder.
In his column for the Daily Star, Wade wrote: "Unfortunately, I wasn't at my best when I played Gezzy; in fact, it was the complete opposite. I played terribly.
"I played terribly. Everything felt wrong, and sometimes, unfortunately, my condition affects my performance.
"It felt embarrassing for me, and I worried it might be embarrassing for the crowd too, even though Price put on a professional display, winning 5-0.
"I wanted to go home, but there was still one game to play on Monday, and I was already out of the tournament.
"It felt strange to play without real motivation; however, I wanted to prove to myself that I was over the disappointing result from Sunday."
He continued: "Now, I'm back home with my kids and Samantha, and I have no desire to watch the darts.
"It's not because I'm bitter; I just don't have any interest in it at all, especially seeing top players making money while I sulk at home."
Wade is in for a quick turnaround as he returns to the stage next Friday to face Micky Mansell in his opener at the Players Championship Finals.