"The first thing everybody said when we got into the dressing room was, There's still two medals up for grabs'," said McCulloch. "I'm gutted. I thought everyone did well and we were just unlucky. We need to remember the teams they've put out to get to the final. We need to regroup now for a big game on Saturday."
The former Wigan midfielder replaced Brahim Hemdani with 10 minutes remaining and was an influential figure as Rangers chased a late equaliser. He had a late chance but ended up putting off Nacho Novo, who reached the ball ahead of him and blazed it over the bar.
"I was going to hit it and then I saw Nacho and pulled away from it. He thought I was gong to hit it so it was a bit of a misunderstanding. It wasn't to be, but it's all about Saturday now."
Rangers have attracted criticism from several of their vanquished opponents in the UEFA Cup this season. However, Zenit showed sportsmanship in forming a guard of honour for Rangers as they went up to receive their medals at the end.
McCulloch claimed that the level of criticism did not affect Rangers.
"It was all the teams that we beat were saying that we weren't that good and you've got to take that. If you're winning it doesn't matter. Maybe our luck ran out a little bit in the final, but all in all it has been a good campaign and there will be no-one feeling sorry for themselves."