The world No.3 was edged out by American Billy Horschel on the second play-off hole at Wentworth on Sunday.
The most recent loss follows a string of near-misses for McIlroy, who also narrowly missed winning the US Open in June and let a final-round lead slip last weekend at the Irish Open at Royal County Down.
Speaking after the event, he said: “Last week was a tough one but I left there with my head held high with the way I played the last hole trying to make three.
“Two weeks in a row I’ve played well. Just not quite well enough.
“Two weeks in a row I’ve played well. Just not quite well enough.”
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“The game is testing me a little more than it has done in the past, but that’s fine.
McIlroy, Horschel, and South Africa’s Thriston Lawrence all finished 20-under-par, with Lawrence eliminated on the first play-off hole.
Horschel went on to claim the title for the second time in four years by making an eagle on the par-five 18th hole.
“If someone had said you’re going to turn up at Wentworth this week and shoot 20 under par, I’d take that – all I can do is keep showing up and trying to play the golf that I’ve been playing and sooner or later it’s going to end up in a win,” McIlroy added.
“And today I played the play-off holes perfectly, really, a couple of birdies. But it just shows the standard out here.
“If you slip up just a little bit or don’t make a birdie on a crucial hole, someone is always waiting to take advantage of that.
Despite the string of disappointments, McIlroy is looking ahead with optimism.
“It could have been a different year but the nice thing is there’s next year and the year after and the year after and the year after,” he said.
“If you think of my career as a 30-year journey, it’s only one year in a 30-year journey, and hopefully the other 29 are a little more productive or a little bit better.
