The Lancashire club are fourth from bottom of the table after winning just one of their games so far this season.
However, this was only a first loss in nine league outings for McIlroy's side.
"We played a major part in Aldershot's goals and you can't do that," said McIlroy. "At half-time we were one goal down and I thought we should have been two goals to the good.
"For those who didn't get to see the game it sounds like a drubbing but it was far from that.
"We made three or four clear-cut chances and didn't take one of them and we got punished in the end for not taking those chances.
"We came here and put up a decent enough show but to go away losing 4-1 is very hard to take. We've got to keep our heads up."
Source: Team_Talk