Let $X = \operatorname{Spec} k[x]_{(x)}$ which consists of two elements, the generic point $\zeta$ corresponding to the zero ideal and the closed point $(x)$. Define an $\mathcal{O}_X$-module $\mathcal{F}$ by setting $\mathcal{F}(X) = \{0\}$ and $\mathcal{F}(\zeta) = k(x).$ Now $\mathcal{F}$ is not a quasi-coherent sheaf because if $\mathcal{F}|_{\operatorname{Spec} k[x]_{(x)}} = \mathcal{F}$ is isomorphic to $\widetilde{M}$ for some $A$-module $M$, $\mathcal{F}(X) = 0$ implies that $\widetilde{M}(X) = M = 0$. But now $\mathcal{F}(\zeta)$ cannot be isomorphic to $\widetilde{M}(\zeta)$ because one is non-zero while the other is zero. Thus $\mathcal{F} \notin \operatorname{QCoh}(X)$.
Are there any other examples of $\mathcal{O}_X$-modules that are not quasi-coherent sheaves?
Let $R$ be a discrete valuation ring and $X=\mathrm{Spec}(R)$. Hence, as a set, we have $X=\{\eta,x\}$. The topology is such that $x$ is closed, but $\eta$ is not (in other words, it is the Sierpinski space). The structure sheaf is given by $\mathcal{O}(\emptyset)=0$, $\mathcal{O}(\{\eta\})=\mathcal{O}_{\eta} = K$, the field of fractions of $R$, and $\mathcal{O}(X)=R$. An $\mathcal{O}$-module corresponds to an $R$-module $A$ (global sections) and an $K$-module $B$ (sections on $\{\eta\}$) equipped with a homomorphism of $R$-modules $A \to B|_R$ (restriction), or equivalently a homomorphism of $K$-modules $\vartheta : A \otimes_R K \to B$. It is quasi-coherent iff $\vartheta$ is an isomorphism. This gives lots of examples of $\mathcal{O}$-modules which are not quasi-coherent. For example, $\vartheta$ could be zero, etc.