The Scottish club's defeat at the same stage of the competition last year is regarded by many as the worst in their 146-year history, and while avoiding a similar fate at the hands of the Macedonians was the priority, Gerrard said they must improve.
Rangers carried a 2-0 first-leg lead into the return match in Skopje on Tuesday and while they were comfortable throughout a drab 0-0 draw, there was little to suggest they will have a long run in Europe's second-tier club competition.
"At the moment, I am a bit mixed right now," Gerrard told RangersTV, adding that while Rangers looked solid defensively they were poor going forward.
"I am pleased with the one side of the game, but there is certainly a hell of a lot of work to do on the other."
The 38-year-old former Liverpool great singled out new centre-backs Connor Goldson and Nikola Katic, as well as returning goalkeeper Allan McGregor, for praise after the match at the Philip II Arena in the Macedonian capital.
"I set the players a challenge before the game -- a clean sheet and we are through. I think there is still a little bit of a mental block going on, especially with what happened 12 months ago," said Gerrard, who was in charge of Liverpool's academy before taking up his first senior managerial position in May.
Gerrard has brought in nine players as he looks to end the dominance of Glasgow rivals Celtic, who have won the league for seven straight years and completed an unprecedented "double-treble" last season.
Rangers have won a record 54 league titles but are struggling to recover from the financial problems that saw them reformed in the bottom tier of Scottish football in 2012.
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