Chief Executive Charles Green made the threat on Wednesday, floating the prospect of the Glasgow club joining forces with teams from European nations such as Belgium and the Netherlands.
Rangers, national champions a record 54 times, have had to relaunch from the fourth tier of the Scottish game after collapsing under a pile of debt last year.
"In what league do you win a division and then end up playing the same teams again the following season? There is no meaning to it, in reality," Green told Rangers in-house TV station on Wednesday.
"I haven't read anything other than what is in the press and if that is what we have sat here eagerly awaiting to transform Scottish football, my advice to the board of Rangers is the quicker we can leave Scottish football the better."
The chief executive conceded on Wednesday that there was no obvious place for Rangers to leave at present but noted there had been talk of a new "Beneliga" involving top clubs from neighbours Belgium and the Netherlands.
"Hand on heart today there isn't an option but that doesn't mean we shouldn't start looking for an option," he said.
"If all we have to look forward to over the next four years is more madness then we would be failing as directors not to explore the alternatives."
Rangers remain one of Britain's best supported clubs. They had a crowd of over 46,000 for last Saturday's home draw with Elgin while rivals in the division are watched only be a few hundred people.
