The 61-year-old was removed from his role as England national team manager after he was the subject of a sting by the Daily Telegraph which allegedly found him to have negotiated a deal with fake businessmen regarding information on how to circumvent rules on player transfers.
Former Three Lions boss McClaren revealed his thoughts on the matter at the 2016 Soccerex Global Convention in Manchester.
"It's been a hugely disappointing couple of days for English football and I'm very sad for what has happened to Sam," McClaren said.
"It could have happened to any of us in a high-profile position and Sam has innocently paid the price and it just shows where sport is, at the elite level, that privacy can only be found in the four walls of your home.
"And I think a lot of managers, who have been targeted, have unfortunately found that out, too.
"We need closure on this so the newspapers and reporters should give their information to the FA so they can step in - if there is anything there, it's got to be cut out of the game."