McCall also hit out at the Millwall fans who invaded the pitch after the final whistle, echoing Morison's negative sentiments about the incident.
The 52-year-old told Sky Sports News: "The game went how we thought it would, I just feel numb at the moment.
"We knew it would be tight and that one goal might do it. It's sore to take but congratulations to Millwall. Jordan Archer made a superb save and that is the thin line between failure and success.
"I'm very disappointed in the stewarding allowing their fans to get over the halfway line. I had fans goading me and my players and I was close to clocking one or two of them, I can tell you. They need to look at that."
Saturday's result marks the first time that Bradford have lost a playoff final, having won their previous two in 1996 and 2013.