"I'm really disappointed. We swung the game as a fielding side numerous times. We all made a few little mistakes. We tried ourselves to be clinical, but this is something we will definitely be disappointed with," said McClenaghan, who returned with a four-wicket haul, including two in the penultimate over last night.
Opener Parthiv Patel was the top-scorer with 34 runs as Mumbai struggled with their batting after being asked to take first strike by Gujarat skipper Suresh Raina. The hosts posted 143-8 in their stipulated 20 overs.
McClenaghan didn't want to blame any one particular for the loss and said every single person made a few mistakes.
Asked whether top-order failure made the difference, he said, "Can't point out, it's a game of cricket, it does happen sometimes. It's got to be a collective effort to win games of cricket. You can't put the blame on just one area.
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"Personally, I can pin-point out 4 leg byes and 12 runs from my second and last over. Every single person like I said made a few mistakes and if you are going to win close games against world class players, you can't afford to do that."
"We did some scanning work with Bondy (Shane Bond), Ricky (Ponting) and Rohit (Sharma) last couple of days. We shut down the scoring zones predominantly, just a shame that we couldn't get him (Finch) out (laughs).
"He (Finch) played a very mature knock and showed the class of the player that he is, (was) exceptionally good," the 29-year-old left-handed pacer told reporters late last night at the post-match media conference here.
In-form Australian opener Aaron Finch battled a hamstring injury to single-handedly take Gujarat Lions to a three-wicket last ball victory over defending champions Mumbai Indians in a thrilling IPL match yesterday at the Wankhede stadium.
To a query, the left-arm pacer said: "We have got great plans from our management staff, from Ricky (Ponting), at the end of the day it comes down to us executing our skills and performing to the best of our ability.
Mumbai now travel to Hyderabad to take on Sunrisers tomorrow.
On his evaluation of the Hyderabad-based side, McClenaghan said, "You look around the IPL this year in particular, every team is very, very strong. And the batsmen are world class. We get a lot of information from DJ and Bondy (Shane Bond) as bowlers. We work through very diligent plans and strategies and try to use it, and put it into place.