The 28-year old midfielder performed brilliantly for Australia in the Qatar tournament but after the disappointment of failing at the final hurdle, was still in a positive frame of mind as he returns to his beloved Roar.
"It was a disappointing loss but we were proud of our efforts," McKay said upon his Brisbane return.
"We were positive afterwards, conceding only two goals all tournament and topping our group and the way we won through to the final.
"But there was a bit of a hollow feeling amongst the players because we didn't win it - we felt we deserved to so it was a bit depressing.
"But it was a great tournament - it really put us back on the map."
And McKay now gets the chance to lead his team, who currently have an undefeated record of 23 matches, to the Premier’s Plate (minor premiership) and into the finals series where they will chase the overall Premiership.
"I'm so proud of the boys and the fact that they have gone on that streak," he added.
"I look forward to this weekend (against North Queensland Fury).
"Coming back with an Asian Cup would have been great but an A-League title would mean a great deal to not only me, my team but also the Brisbane public.
"We have waited six years to get this far - we want to finish off the job."