Real Madrid fought back from two goals down to draw 2-2 with Lyon at Stade Gerland.
Although the visitors fielded three of their biggest stars - Cristiano Ronaldo, Mesut Ozil and Karim Benzema - it was the hosts who went ahead through Clement Grenier who netted with a spectacular long range effort in the 20th minute.
Argentinian Lisandro Lopez added a second before Real netted twice in the closing 12 minutes.
First, Alvaro Borja converted a penalty before new signing Casemillo from Brazil levelled matters on 84.
The Dons opened the scoring through Dean Lewington but an excellent double from Rayo's Johan Mojica put the team that finished eighth in La Liga last season in the driving seat.
Two goals in quick succession from Luke Chadwick and summer signing Jason Banton put Karl Robinson's men into a shock lead just before half-time.
From that point the Dons never looked back and when Darren Potter netted their fourth of the evening the result was all but confirmed.
Rayo, however, did manage a consolation goal in the closing stages with a penalty from Adrian Gonzalez.