The Gers were left with an unwanted group-stage record following their 3-1 Group A defeat by Ajax at Ibrox on Tuesday night.
It took only four minutes for the Dutch side to take the lead through Steven Berghuis and the impressive Mohammed Kudus added a second just before the half-hour mark.
Rangers, missing 10 players through injury and suspension, rallied somewhat late in the game and captain James Tavernier scored a penalty but Ajax substitute Francisco Conceicao soon restored the visitors' two-goal lead to seal a well-deserved win which had embarrassing consequences for Giovanni van Bronckhorst and his side.
After six defeats out of six in a section that also included Napoli and Liverpool, the Govan side were left with -20 goals, having scored two and lost 22, which is the worst performance in a group stage of the competition.
The 37-year-old Davis told Rangers TV: "It has been a difficult learning curve for us in this Champions League campaign.
"But we need to try to learn from it and improve but also park it and concentrate on our domestic competitions now and hopefully we will be back in this level again next year and hopefully the experience will be good for us.
"It is obviously difficult straight after the game to look at any positives but the experience that some of the younger players have got, playing at this level and experiencing it for the first time, will stand them in good stead for their future careers.
"It has shown us all how much we need to improve and how much we can improve and it is something that we can concentrate on.
"We want to be back at this level again competing and that will be the aim for us as a group."
Davis is looking for Rangers to bounce back against St Johnstone in Perth on Sunday and build on the 4-1 home win over Aberdeen last weekend as they look to continue their chase of Celtic, who are four points clear at the top of the cinch Premiership.
The Northern Ireland international said: "That is the one positive and the beauty of the quick turnaround, we have another game to look forward to.
"It is another big game for us away to St Johnstone, so we need to go there, concentrate and put in a similar performance to the one we have seen at the weekend."