But they aren't usually ushered to media immediately after. They go back in the locker room and get at least a few minutes before the press conference starts or reporters are allowed into the locker room. Yes, some reporters are on the field but when it comes to the losing side, they are more likely to talk to the coach in the immediate aftermath than players.
IIRC, after MK's disastrous skate at 97 Nats, Terry said on the broadcast that they tried to get her for an interview but she declined. So at some point, skaters were allowed to go off somewhere after their skate. I know ABC was doing their job, but I don't think most people would have wanted to hear/see MK seconds after that skate.