The Light Blues take a two-goal lead into next week's UEFA Europa League third qualifying round second leg at Ibrox thanks to strikes from Alfredo Morelos, Joe Aribo, Nikola Katic and Scott Arfield.
• READ MORE - Match report: Midtjylland 2-4 RangersExpressing his pride in the performance, Gerrard told RangersTV: "I think everyone to a man was fantastic tonight. It is a great result but it is only half-time and there is still a lot of work to do.
“We need to go and carry out the gameplan in the second leg exactly how the boys did tonight. I thought we were very close to a perfect performance, although we have conceded a couple of goals.
“We did have a bit of a wobble, but we have come away from home, scored four goals and there were outstanding individual performances.
“I have nothing but praise for my players. This is a difficult opposition who have good players. I thought we stood up to their physical presence. They are very big in profile and you can see their set-piece threat. They have got good players and technicians who can hurt you."
Pointing to the character shown by his players when a quickfire double from the Danes reduced the deficit to just a single goal, Gerrard added: “You saw it at the weekend [against Kilmarnock], so it is no surprise to me or the fans. But I believe we have grown up.
“I’m not sure we had this performance in us last year. Yes, we went away to Villarreal and performed really well, but I think we have gone up a level again and I think that showed tonight.
“We never panicked at 3-2. We knew we were still in front and we showed great composure to go and get another one and that could be a very important goal."
The Light Blues boss is still wary of the threat posed by the Danes and stressed the need for hard work in the return leg next Thursday, but insisted the players' focus is now on the visit of Hibs on Scottish Premiership duty on Sunday.
“We need to forget Midtjylland for a week and really focus on trying to build on our performance at Kilmarnock," he told RangersTV.
“We have to go onto the next one very quick. The squad is big enough and I’ll make a few changes to freshen it up at the weekend and then we will go after Hibs.
“But I need Ibrox to be rocking at the weekend as we have put a lot into tonight so we need the crowd at the weekend.”