The Shrimps twice came from behind to draw level with goals from Michael Twiss and David Artell but McIlroy insisted his side could have won the game.
He said: "I thought we had enough possession and enough balls going into the box to nick the game but at the same time we still conceded soft goals and that is something we will have to sort out quickly.
"It was disappointing to give Macclesfield the lead and disappointing to concede another penalty to give them an early goal.
"At 1-1 I thought there was only one team going to win it and we put some great balls into the box but then we got caught too deep and they scored with one of their only attacks of the second half.
"I am disappointed not to have won the game but on the plus side we showed real spirit and battled to the end and ended our run of two defeats."