The Scotland international made a string of top-shelf saves as the Scottish champions were shocked 1-0 by the Swedes who benefited from Daniel Larsson’s 18th minute strike which gave McGregor no chance at all.
McCoist said it was the influence of the 29-year old which kept ‘Gers in the match when they could have conceded more goals.
"That's why he's one of the best, he makes good saves at important times and he did that again,” he said.
"We could and should have scored but it was equally important we didn't lose another one and we have the goalkeeper to thank for that."
Rangers will now need to score twice and keep their opponents when they head to Sweden for the return bout on August 3.