The Scottish champions had hoped to book their place among the continent's elite clubs again this season but failed to progress past Swedish outfit Malmo at the qualifying stage.
This time around, Rangers at least have the consolation of a place in the Europa League play-offs, rather than facing the scenario they were confronted with in 2008 when defeat to Kaunas saw them crash out of European competition altogether.
The Light Blues reached the UEFA Cup final just months before that shock loss in Lithuania and McGregor believes they must try to make the most of the situation they now find themselves in.
Rangers will be seeded for Friday's draw, when they will discover who stands between them and a place in the Europa League group stages.
McGregor said: "It's great to have the European nights. The Champions League would have been perfect for the players and good for the club.
"But the Europa League is there and we still want to play in Europe.
"I thought with the way we started, and overall really, that the boys played well so there are some positives to take from the game."
Rangers headed into last night's clash in Malmo already trailing in the tie as a result of a Daniel Larsson strike in the first leg in Glasgow.
Nikica Jelavic threw Ally McCoist's men a lifeline when he found the back of the net to cancel out the Swedes' advantage.
However, straight red cards for Steven Whittaker and Madjid Bougherra on either side of the interval left Rangers with a battle they were unable to win.
Malmo also saw Ricardinho dismissed but went on to earn a 1-1 draw on the night and a 2-1 aggregate win thanks to Jiloan Hamad's late goal.
McGregor told www.rangers.co.uk: "It's difficult because we started the game very well. Once we had the red cards, I still thought we did really well.
"We kept the ball when we were down to nine men, even when there weren't many options for the guys in possession."
The Rangers goalkeeper had come to the rescue with a number of impressive saves in Glasgow and was on top form again in Sweden but boss McCoist felt another player also deserved to be singled out for praise.
With skipper David Weir failing to make the trip with a hamstring injury and new signing Dorin Goian then ruled out with a similar problem - after being cleared by UEFA to play just hours before the match - Sasa Papac was asked to fill the void at centre-half despite being an injury doubt himself.
McCoist said: "Dorin felt his hamstring in training and it was a blow for us.
"I don't like singling anybody out, especially after a result that knocks you out, but Papac was absolutely out of this world.
"He was another one who probably shouldn't have played, he was under the doctor's supervision for the last 24 hours and probably, if Goian had been fit, Papac wouldn't have played.
"But it's a real plus, spirit like that helps us, no doubt."