The Besiktas goalkeeper feels the Scots have been unlucky in recent times, including their 2-1 loss to Wales on Friday, but they cannot argue with their position at the bottom of their World Cup qualifying group.
"We have got a great group of players, and a lot of them are playing at a good level, and things have gone against us in games," McGregor told Sky Sports News ahead of their midweek clash in Serbia.
"But we don't want to make excuses - we are there for a reason.
"You can ask anyone in the world why [we are losing]. But there is no single reason, it is just one of those things and we hope things change sooner rather than later. Every game you want to win, that will not change.
"It has been a long time without a win and we are choking for a win and a first competitive one for the manager."