Bougherra and Steven Whittaker were both shown straight red cards in the second leg of Rangers' Champions League qualifer in Sweden, which saw the Scottish champions crash out of the competition with a 1-1 draw on the night and a 2-1 aggregate defeat.
Bougherra now looks set for a £1.7million move to Qatar outfit Lekhwiya and could soon be bringing down the curtain on his Rangers career.
He said: "If it's my last game of course I'm disappointed by the way it has finished. But we have Europa League, so we are not finished this season.
"The past three years have been fantastic and we have won six titles."
Whittaker was sent off after just 18 minutes but Nikica Jelavic handed Rangers a life-line when he netted to cancel out Daniel Larsson's strike from the first leg at Ibrox.
Ricardinho also saw red for Malmo but it was the home side who progressed when Jiloan Hamad netted the tie's decisive goal late on.
Bougherra said: "We controlled the game well, and we knew we didn't have to rush the goal. We got it from Jelavic but I don't think we had the freshness we needed to complete the win."
The Algerian had already been booked earlier in the game and was shown a straight red card after 65 minutes for a challenge on substitute Dardan Rexhepi.
Bougherra told Rangers' website: "I just wanted to block him but the referee made his decision. I don't know about the red card, maybe it was.
"Honestly I thought my first challenge was okay but the second one maybe a yellow. I don't think it was a red card. I put my hand out to block him.
"I need to see the replay because I only jumped to block him, but he was higher than I expected. I didn't judge it well, but that is football."
Ally McCoist may have been disappointed with the two red cards but was keen to praise the nine players who managed to stay on the pitch.
He said: "The match itself I thought was pretty open. I thought we created enough chances to add to our lead and unfortunately we didn't take those chances.
"But in terms of the two performances, especially tonight, I couldn't be happier with the vast majority of our players, as disappointed as I am and I'm bitterly disappointed.
"The vast majority showed real character and strength and no shortage of talent. I've been involved at this club for a number of years now and you need to experience the highs and the lows.
"The end of the season at Kilmarnock was a high and tonight was a massive low. But you wouldn't swap it, it's where you want to be, it's where you want to play football.
"In my opinion, you don't want to play for other clubs where mediocrity is acceptable and we certainly will not accept that. We will pick ourselves up and get on with it."