The two-legged tie was a tight affair with Ollie Norburn hitting a great strike to divide the two teams over 180 minutes of football.
The Rovers manager said his overriding feeling was "gutted" but admitted that Macc deserved their place in the final.
He told Tranmere Player HD: "We're gutted. I'm gutted for everybody else, but I think we have to say congratulations to Macclesfield because over the course of the two games, they probably just edged it.
"It took a goal like that of great quality to separate the two teams and we just didn't have the cutting edge when we needed it in the final third to break them down."
After playing with a back three for a number of games, the manager decided upon a change of formation and he explained the reasoning behind the decision.
"We changed the formation to try and get at them a bit more, by sacrificing a centre back for one extra player ahead of the ball.
"We thought that we could get a 2 v 1 overload with Adam Mekki or Connor Jennings turning and being a midfield runner or turning them with James Norwood and Andy Cook but unfortunately it just wasn't to be."
Image: Reuters Media