Now, following this 1-0 defeat at Ibrox, Gers’ objective is to make the most of their last dozen domestic games and seal an SPL and League Cup double.
But as they prepare for the final of the latter tournament on Sunday against Celtic, they’ll be wondering what might have been in this one.
Walter Smith’s men were slow out of the blocks and deservedly trailed at the midway point following Lens’ opener.
They improved significantly after the restart and created enough chances to get themselves back into the tie, if not win.
But there was bemusement just after the 60-minute point when Austrian referee Robert Schorgenhofer didn’t spot a clear handball on the line by Atiba Hutchinson.
Had he gone for blocking Maurice Edu’s shot and Gers had scored the resulting penalty, a very different match might have unfolded.
As it is, they are now out of the event and must focus on the forthcoming Old Firm game at Hampden Park.
It appears they have problems going into that fixture though, with Kyle Lafferty leaving the field on a stretcher and Kyle Bartley and Steven Davis sustaining knocks too.
There was a surprise in the home starting line up with Gregg Wylde coming into the first XI in a European game for the first time in place of the injured Vladimir Weiss.
Lafferty also returned to the side as a lone striker, with El-Hadji Diouf dropping to the bench and the fit-again Steven Naismith joining him there.
Just as he did in the first leg, Neil Alexander came in for regular number one Allan McGregor in goals.
But while he was solid in Holland, the replacement goalie had a tricky first couple of minutes and nearly gifted PSV an early opener.
Alexander took too long to dispatch a passback upfield but although Marcus Berg was able to close him down, his touch wasn’t enough to take the ball into the net.
At the other end, it was clear Wylde’s objective for the night was to get balls into the box for Lafferty to get on the end of.
And he played his part perfectly in Gers’ first break upfield, charging down the left flank away from two men then centring.
But while both Lafferty and Steven Whittaker made good inroads into the area, the latter was penalised for pushing and a promising attack came to an abrupt end.
That was as good as it got in the opening exchanges for the hosts and after 13 minutes they were behind.
A wonderful defence-splitting pass from Erik Pieters released Balazs Dzsudzsak down the left as he got between Richard Foster and Madjid Bougherra.
And after doing little of note in the first leg between the sides at the Philips Stadion, the Hungarian played into the mix for Lens to tap in from close range.
Pieters’ piercing ball played a huge part in the strike but from the Light Blues’ point of view, it was an awful goal to lose as they were carved open so easily.
Going behind left the SPL champions with a mountain to climb and they knew they needed to score at least twice but they had time on their side.
Their response was anything but emphatic though and the visitors from Eindhoven only looked like adding to their lead as they gradually took hold of proceedings.
Dzsudzsak found space down the wing again and had an opportunity to add a second but wasted it.
It also took a last-gasp clearance from Alexander when the flag stayed down to deny Berg when he broke the offside trap.
Rangers enjoyed their best spell of pressure shortly before the break but even then, it never resulted in any clear-cut chances.
Indeed, they closest they came was from an overhit Whittaker free kick and when Bougherra got his head on it, he was always going to do well to get it on target.
Given boss Smith said in his pre-match media briefing he didn’t think Naismith could play twice in four days, it wasn’t to be expected he’d be sent out to warm up at half-time.
Yet he was and despite wanting to keep him fresh for the derby, Smith gambled and threw on the returning forward for the second period in David Weir’s place.
In turn, the hosts went with a more attacking 4-4-2 shape with Naismith playing just behind Lafferty.
The change nearly backfired almost immediately as Orlando Engelaar was able to make space for himself on the right but his shot flashed across the face of Alexander’s goal.
In response, Wylde did really well to skip past two men before a couple of changes in direction and a shot from 25 yards which bent just past the target.
The youngster was really making an impression when he was allowed to and moments later he was at it again.
Wylde showed fabulous pace to bullet past Abel Tamata and whip another teasing ball in which Marcelo had to react quickly to to clear.
For the first time in the match, Rangers were showing the kind of urgency their supporters were looking for.
And yet again, a fantastic ball in from Wylde caused confusion in PSV’s back line which almost ended with Marcelo scoring an own goal.
You sensed if the Light Blues could get a leveller they’d take a massive lift from it and on the hour they had their chance.
But after a defensive blunder from the Dutch left Edu with just the keeper to beat, the midfielder missed and that summed up the way things are going for him right now.
Undeterred, Gers continued piling on the pressure and Naismith smacked a header off the bar.
In the aftermath, Kyle Bartley’s follow up was scrambled off the line before Hutchinson handled Edu’s shot on it but got away with it when it went unnoticed.
With six match officials on the park and two specifically to deal with goalline issues, quite how the Canadian wasn’t sent off with a penalty given is a mystery.
With the injustice of that one going against Rangers still simmering away, an injury to Lafferty took the sting out of the game.
Diouf came on for him after he was taken off on a stretcher and straight away PSV were on the front foot again, with Alexander saving well from Ola Toivonen.
Then, after a clumsy foul by Bougherra on Lens, a well-hit free kick from the Swede flashed a yard too high.
Time was beginning to work against the hosts and that was starting to show as a tired Steven Davis attempt kept rising well after it cleared the upright.
Bougherra didn’t do much better when he connected with a Wylde corner and it was off target after the Algerian looked surprised to get on the end of it.
Dzsudzsak almost killed the tie with eight minutes remaining when he took a huge run up and smacked a low free kick off the post from 20 yards after Edu fouled Lens.
But the fact he missed didn’t matter as play closed with a whimper and Smith’s last European tie ended in a defeat which could prove more costly than it first seems.