We got Conor in the middle of a super expensive shopping spree at Versace, Dolce, etc -- where he told TMZ Sports, "I'm on Rodeo Drive! I'm blowing f*cking loads of it!"

We also asked Conor about reports that his opponent Floyd Mayweather owes MILLIONS to the IRS for not paying off his 2015 income taxes ... a number that some estimate could be more than $100 mil.

"That's gotta sting," McGregor said ... "He shoulda paid his taxes and stayed retired and kept my name out of his mouth!"

He also told us he'll be way smarter with his money ... as he continued to drop thousands at some of the most expensive stores in the world.

Conor also had one last note about Floyd -- "He's f*cked now."