The day after England were outclassed by Croatia in a 3-2 defeat at Wembley, however, a guarded McClaren said there were issues in English football that must be addressed if the national team was to achieve success.
"It's a huge disappointment," he told reporters at a news conference. "I feel I've left the fans down and the country down. I really thought we were ready but sadly it wasn't to be.
"I said 18 months ago when I took over it was the proudest day of my career, this is the saddest."
McClaren defended his players, although he said the criticism they are bound to receive in the coming days and weeks would be justified because ultimately they failed to qualify for a major finals for the first time since the 1994 World Cup.
"I believe we need to get behind the team and look at the overall conditions we are working in," McClaren said, when asked if the Premier League's abundance of foreign players was harming the English national side.
"We have to ask can we improve the situation to give the England team a better chance?
"There are a lot of issues out there that will be debated and discussed. The FA, the players and the staff want to improve but maybe you have to have a fall before you can bounce back. Maybe this is an opportunity for that."
On his decision not to resign, McClaren said he had never walked away from anything and that he hoped to be back in football again soon.
"It was out of my control, out of my hands... you are judged by results and I said that no matter how I portray myself it was about results on the field and qualification," he said.
"I'll recover, I'll bounce back. I'm not one to lay on the beach. I believe that after 18 months in this job I am a better manager... it's failure, but I'll learn from that and move on."
Failure to qualify for next year's tournament could mark the end of the so called "golden generation" who have nothing but a smattering of quarter-finals to their name.
However, McClaren still believes England have the players to be a world force.
"There are issues because we failed to qualify," he said. "My time has gone now. We have not had the success that we think is there but I genuinely believe it will come with this group of players and the ones coming through."
(Reporting by Martyn Herman; Editing by Justin Palmer)
