The Irishman, 32, was stopped after the first round against former interim lightweight champion Dustin Poirier.
Replays showed his ankle rolling over as he stepped backwards seconds before the end of the round and the fight was stopped by doctors, handing Poirier a second straight win in their trilogy.
"This is not over," McGregor said.
"If I have to take it outside, let's take it outside," he added as he was interviewed while sitting on the canvas with his ankle strapped in a protective cast, before being taken out of the ring on a stretcher.