"I thought we were done," Sky Sports News quotes McShane as saying.
"I was getting my head around the playoffs because somebody on the pitch said it was 2-1 to Watford so I was devastated, but just trying to get my head around it.
"Watching the game in the tunnel was surreal, really like a bit of a dreamland. The game finished 2-1 to Leeds and people went wild. The crowd out on the pitch there... amazing stuff."
The final day's results saw Hull promoted to the Premier League as Championship runners-up, while third-placed Watford were forced to settle for a playoff spot.