But the Gers gaffer is pleased his star player will be able to focus fully on helping his side sew up the SPFL League One title.
"I am surprised that Lee wasn't in the Scotland squad," he admitted.
"But Gordon Strachan doesn't tell me how to pick my squads and there's absolutely no way I'm going to tell him what to do. He is doing a fine job.
"Yes, I am surprised Lee isn't in the squad, but it actually suits me. There's less chance of him getting injured and he can stay here and concentrate on hopefully winning the league.
"If I'm going to be totally selfish, I'm over it quick. But if you ask me if I'm surprised, then I'll be honest and say I am."
McCoist is unsure if Wallace has been left out of the Scotland squad for the friendly with Poland in Warsaw next month because he is playing against part-time teams in the third tier.
Strachan has preferred to pick Phil Bardsley, who is starring for Sunderland in the Barclays Premier League, and Andrew Robertson, who is representing Dundee United in the SPFL Premiership.
McCoist has praised the continuing loyalty of former Hearts man Wallace - who was one of just a handful of players to remain in Glasgow when they dropped down to the Third Division - to his club.
And he has welcomed the 26-year-old player's revelation that he would have remained in Glasgow if the club had accepted a bid to sell him during the January transfer window.
He said: "I don't know if it has been overlooked because he is playing in League One.
"But Lee's commitment to the club is not a surprise to me. Initially, his commitment was a real shot in the arm for everybody.
"Lee's committed himself to Rangers and that's fantastic for us.
"He's proved he can play at any level."
McCoist added: "It would be wrong to say Lee's commitment is a surprise, but I can't say how delighted we are that he's said he wouldn't have gone anyway.
"He's 100% well within his rights to do that.
"We moan about players not wanting to honour contracts, so it's only fair when they do want to honour them they should be allowed to."