"It is very disappointing, but it was a decent week," he said.
"I got myself into contention again. It was my third strokeplay event of the year and the third time I've been in contention. I haven't been able to walk through that door but I feel like the more times I knock on that door, I'll eventually step through it."
The worry for McIlroy must be the calibre of leaderboard on Sunday. He held a two-shot advantage over Henley going into the final round and would not have believed that a 72 for his playing partner would lead to victory. Ryan Palmer and Scotland's Russell Knox were the others in the play-off; the former has not won for four years and the latter is still trying to establish himself on the PGA Tour.
In short, McIlroy is in a different league, but found himself overtaken. Perhaps it is time for another chat with Nicklaus.
Three years ago, the pair had dinner when the 18-time major champion told the young maestro that lesser rivals would always be more inclined to beat themselves than him.
Nicklaus repeated the sentiment as McIlroy laboured on a back nine which was essentially wrecked by a double bogey on the 16th and a bogey on the 17th.
"One thing that Rory's got to think about here is, who's on the leaderboard," Nicklaus said. "When I was playing, we used to have Johnny Miller on the leader board, or we had Tom Weiskopf, or Tom Watson, or Arnold, or Gary, or Trevino, who you know were going to finish.
"These guys are kind of unproven. They're all good players, but Rory is a proven player and should have the advantage coming down the stretch."
McIlroy did not, but he now recalls what it takes to get over that line.
"I just need to be mentally strong," he said. "That was a perfect opportunity to win. No one was really coming at me. I started at 12 under and eight under got in the play-off. So I'm just thinking, play those last few holes just solid. It's tough to take at the minute but I'll sleep it off. It's a new week and I'll try to get myself back into contention next week at Doral."