The Rams were dominant against Harry Redknapp's side for most of the game, but Bobby Zamora's goal right at the death saw the R's promoted to the Premier League at the expense of the East Midlands side.
The 53-year-old told BBC Sport: It was the cruelest game ever. I've lost some games in my career but that is the cruellest.
"We didn't deserve that but you don't often get what you deserve. For somebody to make mistakes - we don't blame anybody. I'm so proud of the players for what they've achieved this season and for how they played today. You could only see one winner. Maybe we're not ready yet with this young team.
"QPR showed their experience, they made it tight but they never looked like scoring. We had a lot of the ball, got it wide and put it in dangerous areas but credit to QPR, they made it hard to break down. They held their nerve and unfortunately they got the moment."
McClaren spent time coaching at QPR before becoming Derby manager last year.