The Northern Ireland midfielder departed the crisis club in the summer to join Premier League returnees Southampton but he does rue the fact he was not successful as 'Gers skipper.
Davis took the armband last January but could not guide the Ibrox club to a trophy and tt is that reason that Davis can one day see him back in a Rangers shirt.
"The one thing that will always stay with me was that I never managed to win anything as Rangers captain," he told SunSport.
"That was a big thing for me, but it was down to circumstances and the way the season developed.
"Looking back, it was all a little bit bittersweet at the end.
"I loved my time at the club. To play for Rangers and be made captain was a huge honour.
"I'm disappointed at how it all ended really.
"But you never know, maybe I'll go back to Rangers one day.
"I'd never rule it out. I loved my time at Rangers and it was just unfortunate how it worked out in the end."