Bobby Zamora snatched an undeserved winner for QPR in the final minute.
McClaren young side bossed the match for 89 minutes but could not find a way past Robert Green and were eventually sunk by a late sucker punch.
"Football's a cruel game," said McClaren.
"We were dominating but one lapse and you lose a game like that.
"I've told the players we obviously are not ready yet, that it's not our time yet and we still have a lot of learning to do, but I'm so proud of them.
"We stayed on the field to applaud QPR and watch them go into the Premier League, and we don't want that hurt again. But if this team stays together it will get stronger."
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