Ex-England boss McClaren, 54, took over in the summer but remains without a Premier League win after two Dimitri Payet goals gave the Hammers a 2-0 victory on Monday night.
"I'm very disappointed and this is a big lesson for us," said McClaren.
"These games hurt like mad, but you need them to get the message across."
"It's a wake-up call for us," he added.
Payet gave the hosts an early lead when he curled the ball past Tim Krul from the edge of the penalty area. The Frenchman grabbed his second with a rebound after Victor Moses had hit the crossbar.
Newcastle's team coach was stuck in traffic in east London before kick-off and the players had to walk the last mile to the ground.
However McClaren refused to blame his side's poor performance on the travel disruption.
"The preparation was short, but we had to deal with that and we didn't. I don't want to make any excuses," added McClaren.
"West Ham came out flying and scored within 10 minutes and in the second half we huffed and puffed without that quality in the final third.
"This is a journey and it has been two steps forward one step back so far, but this was two or three steps back. Our final ball was poor."