Rush said: "We felt we could have won the competition and it is frustrating to have missed the chance to face Arsenal at Anfield.
"Now it is time for us all to look at ourselves - not just as players and coaches, but as fans too.
"We have got to work together to make sure we end the season on a high. The UEFA Cup is still a great competition and there could be some great European nights at Anfield still to come.
"Contrary to what some are saying, the season isn't over yet. But it's up to us to salvage something positive. I hope the fans will be backing us all the way - because it will be a lot easier with your support."