Motherwell lost 1-0 in Russia to exit the Europa League third qualifying round 3-0 on aggregate but were never outclassed against a team unbeaten in the Russian Premier League since November.
Motherwell were undone by a Stephen McManus headed own goal five minutes after half-time and had the perfect chance to level in the final minute but Bob McHugh failed to convert a penalty.
McCall said: "I was proud of them. It was a good effort.
"I have watched them four times and I watched them on Sunday against Spartak (Moscow), and they are a really good side.
"They are talking about (Ibrahima) Balde going for £10-11million and the boy in the middle (Charles Kabore) for £7-8million."
McCall, who left behind James McFadden, John Sutton and Iain Vigurs to prevent them aggravating muscles problems on the six-and-a-half-hour flight home, said: "The focus was the game, to get to half-time and be in the game and then, if we can get ahead, start thinking about the tie.
"Their opportunities came from two or three of our errors, they didn't really cut us open. I have seen them cut some really good teams open.
"Then they got the goal and we rocked for about five minutes but we battled away and it would have been the icing on the cake if we had scored at the end.
"The effort and determination was good and we're just disappointed to lose the game.
"Bob's disappointed and Mick (McManus) is disappointed but they have no need - people miss penalties and score own goals. It's part of football."
The 50 or so Motherwell fans who made the long trip at least had something to celebrate when Gunnar Nielsen saved Kabore's 75th-minute penalty on his debut.
And McCall was not left downbeat by McHugh's penalty miss, which stretched their run without a European goal to seven games since Tom Hateley's injury-time free-kick in Odense in 2010.
"He's been practising in training," McCall said.
"Sutty and Faddy would have been the first two up but Bob's been practising and nine times out of 10 he has been scoring.
"The keeper is a big lad and if you go the right way you have a chance. They were two good penalty saves."