I cant believe I am asking this but...

It autosaves, so just hit esc or start on your controller, select exit game or whatever the last option is, it takes you to the main menu, repeat the process. Select the top option from the final quit page, it won't say quit, it will be a Max Payne like quote. lol

I had to admit defeat like the loser I am.<- that means quit.

But I wanted to make those bastards pay first. <-that means I changed my mind and want to continue playing.

You can't quit during a cutscene, you have to wait for the cut scene to end before the menu appears, otherwise it will just say paused when you pause it. That's probably why you're not seeing the menu.

That includes any interactive cutscene too, example, you have to push a button.