The 32-year-old centre-half insists Steve Clarke's men must quickly move on and bounce back at Everton.
"We're hurting at the moment," McAuley told the WBA website. "The feeling in the dressing room is one of disappointment.
"We let ourselves down. In the first half we were sluggish in our performance. We seemed a little bit tired in the way we played - but at this stage of the season it shouldn't be like that.
"It's never nice to lose a game, but to lose one to a penalty in the 90th minute is even worse.
"But you've got to take your medicine from it and move on."
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