The world number two had been favourite to win the Open at Royal Liverpool for the second time but ended up seven shots behind champion Brian Harman after rounds of 71, 70, 69 and 68.
It was another near miss for McIlroy, who won the last of his four major titles in 2014, following his third place in last year's Open at St Andrew's and runners-up spot at last month's U.S. Open.
"Over the last two years I would have loved to have won one of those that I finished up there in, absolutely," the Northern Irishman told reporters.
"But every time I tee it up, or most times I tee it up, I'm right there. I can't sit here and be too frustrated."
McIlroy, who won last week's Scottish Open, was happy with the way he played.
"Overall solid performance, not spectacular," he said.
"Improved on my score every day. I missed a few putts yesterday. Felt like I putted a bit better today. I needed to go out and shoot something 63, 64-ish, but really hard to do that in those conditions."
McIlroy said he was already focusing on the rest of the year.
"I'm optimistic about the future," he said.
"I think about trying to go and win a fourth FedExCup here in a couple of weeks time, go try and win a fifth Race to Dubai, go and win a fifth Ryder Cup. I just keep looking forward."
