I think some people here are missing something.... Yes, the players are paid a lot and yes they want to win for themselve, but most of them want to win for their country. They are playing for their nation and they cannot have failed to feel the weight of expectation on their shoulders. The media and everyone else has focussed the whole of England on this game heralding it as the shining light in our time of shitness. The need for 'good news' has never been greater, and the responsibility of delivering that lay with these young men.
I expect that most of them didn't want to wear their medals as they will (currently) be thinking that they have let everyone down. They will feel a bit of a fraud for wearing medals when they didn't deliver what was asked of them. So yes, it might seem rude/childish, I think that the sentiment behind not wearing the medals probably runs deeper than that.