The Wales international was brilliant in the first half, producing a number of world-class saves to keep out the City attack, but his error led to the opening goal for the visitors when he a loose ball was chased down by Sergio Aguero.
Hennessey's clearance was poor and the deflection off Aguero fell for Edin Dzeko who finished with ease much to the dismay of the Wolves gloveman.
But McCarthy feels his number one custodian should not be blamed and only had positive words for the 24-year old.
"He was fabulous, some of the saves he made in the first half were just outstanding," McCarthy said. "He has been brilliant all season and there will be no recriminations from me on his part.
"But it is another mistake which has let the opposition get the lead, and we had been doing okay."