The Europa League finalists found themselves 3-0 down at half-time without laying a glove on the Dutch giants.
McCoist was left frustrated and baffled by Rangers’ inability to make it difficult for Ajax who, despite their dominance in possession, ran 6km more than the visitors.
"The dream turned into a nightmare,” McCoist said on BT Sport. “Anything that could go wrong did go wrong.
"Even the second half, the offside goal, Kent not getting himself back onside. There is no excuse for that. The finish was sublime and then Ryan Jack giving the ball away for the fourth goal.
“We said Saturday at Celtic Park was a bad day at the office. This was equally as bad. Very, very disappointing. Really concerning, maybe even more so. I think there are a lot of Rangers supporters looking for a reaction to Saturday and they certainly didn’t get it.
“The last two performances haven’t been good. What concerned me more than anything was the lack of effort to run about. I’m looking at their midfield players and they are going beyond the ball, creating space.”
A visibly irritated McCoist had issued a scathing take on the first-half performance and issued his concern that the team are not “learning from their mistakes”, namely defending set pieces.
“Really, really poor," he said. “There's no spirit, doesn't look as though there's any fight, there's certainly a lack of belief, if no belief at all. Two of the three goals defensively have been horrendous.
“There's been absolutely no positives at all. It's been a really, really poor 45 minutes, which has just been a continuation from the weekend.”
He added: "The problem is, and I keep harping on about it, you lose Balogun, you lose Aribo, you lose Bassey - you lose three good players - but you lose a real physicality in your team. You lose defensive strength at set plays.
"You've only got one player in your team, and he's not been great at it by the way, and that's Goldson that looks capable of winning a defensive header. In the modern game, particularly at set plays, that is not good enough."