The Northern Irishman went into the final round at Augusta National with a four shot lead, but could not hold off an inspired challenge from Charl Schwartzel as he missed out on a first Major.
But the 21 year old insists he can use that experience to become a better player.
"It was a long journey here from Augusta - it probably took us about 30 hours but I'm feeling okay," he said.
"I'm trying to get back on the saddle and put everything that happened last week behind me and I'm looking forward to getting going.
"When you travel like that you have a lot of time to reflect. I'm really just looking at the positives.
"I led that golf tournament for 63 holes. That's all I can look at. Everyone is going to have bad days. Mine just happened probably on the most important day of my golfing career.
"I'm a very positive person and I know I'll get over it. I'll learn from it. When I get myself back in that position if I have really learned from it, it won't happen again."
McIlroy admitted that the pressure of leading for the first three rounds had proved tough to deal with.
"It is difficult," he added. "Sleeping on a lead for a couple of nights in a Major is definitely hard work. You are always thinking about it.
"On Sunday I started with a four shot lead and within a couple of holes I was tied for the lead. I was one over through three and Charl was three under so that was a four shot lead gone.
"So all of a sudden from being four clear I'm tied for the lead. It was a little different. I thought I did really well hanging on in the front nine, making birdie at seven. I was one ahead with nine to play, but especially on that golf course it can all change so quickly.
"It is very hard to keep yourself in the present and not think about winning or putting on that Green Jacket or walking up the last with a two or three shot lead. You need to keep that out of your mind - I did that for the most part.
"If I was giving advice I'd say don't read newspapers, don't look at the TV or anything like that. It's easy to say he's got a four shot lead and if he keeps doing what he is doing he'll win but it is a lot easier said than done. My advice would be almost put yourself in a bubble and don't let outside factors influence anything whether that be newspaper articles, TV or anything."
And McIlroy has a chance to prove his credential against the best in the world straight away at Kuala Lumpur Golf and Country Club - with three of the four current Major Champions in the field.
World Number One Martin Kaymer and Open Champion Louis Oosthuizen will be joining Schwartzel in teeing off in the 50th staging of the event.
"I was always going to come here," added McIlroy. "At the start of the year I knew Martin would be playing and Charl and Louis. It's going to be a great field. I'm excited to get out playing again so never any doubt.
"The conditions will be a lot different. The humidity, the greens will be different than what I've putted on the last few weeks. They'll be grainy and a lot slower. The opposition this week is tough.
"I've got to get over the jetlag too so there is a lot to deal with. I'm excited to get out there though. Hopefully that will take over. I've the enthusiasm for getting out there and that will be enough."