After holding talks on Friday with Gers directors, Gerrard withdrew from the interview process the following day.
Rangers are still to find a replacement for Russell Martin and McCoist told talkSPORT: "It doesn't surprise me. It probably disappoints me a little bit, just selfishly.
“I don't know why he's turned it down, I genuinely don't.
“There's rumours knocking about that he had to stay out of the country for a certain period of time, that it was going to cost him a lot of money in tax.
“I don't know whether that's true, but you would suggest that there's a distinct possibility it could be the case.
“And you're probably talking about numbers - I'm guessing here because I don't really know.
“But if it was the case, you're probably talking about numbers that could affect the generation of a family. So that would be something you'd have to take into consideration."