Scotland lost their Nations League tie 2-1, with Al Nassr striker Cristiano Ronaldo scoring an 88th minute winner.
"I’m disappointed to lose a game where it looked, for a large period, like we would get something from it,"said the Scotland manager.
"I’m really disappointed for my players because I think they deserved to get something from the game.
"I reiterated to my players that we have to understand what part of the cycle we’re in, what we’re trying to build.
"We’re trying to re-adjust after the summer. We can lose these matches to try and build and make sure that the end goal, as always, is to qualify for the tournament.
"It would be nice to get some points, it would be nice to not concede late goals, but this is the level we’re at. The players understand how difficult it is to get results at this level.
"If you ignore the results, (there are a lot of positives) but we’re professional, so it’s disappointing.
"We played well in these two games but we don’t have anything to show for it. I’ve told the players not to be too hard on themselves. They have to understand the work that we’re doing.
"We’ll go away and analyse these games and hopefully we can give the lads a few pointers for the games next month, which don’t get any easier.
"When you bring quality players from the bench like Roberto (Martinez) can do, you always know there’s a risk. But I felt we handled it well. With the amount of balls that go into the box, you know one of them can go in the back of the net and that’s what happened to us."