Not even veteran paceman McKay's three quality wickets - Kevin Pietersen, Jonathan Trott and Joe Root - in three balls could tip the balance at the hosts won game four by three wickets with just three balls to spare in Cardiff to keep the series alive going into the last game in Southampton.
"The boys are a bit flat," McKay admitted.
"We had a massive opportunity today to take this series home and unfortunately we couldn't deliver.
"But we'll bounce back and fight hard again on Monday."
QUICK SINGLE: Watch McKay's hat-trick
Batting first, the Australian tally of 227 should have been a lot better after they'd fought back to be 5-209 with almost 10 overs to play.
A late collapse, however, saw the tourists lose their last five wickets for just 18 runs in the space of six overs.
"We just didn't finish off our innings," said McKay.
"Put another 30 on our scoreboard and it's a different chase altogether. I think we can learn from that come Monday and hit the ground running."
McKay became just the fifth Australian to take a hat-trick in international one-day cricket - the first since Daniel Christian against Sri Lanka in Melbourne in early 2012.
The 30-year-old McKay is ranked seventh in the world one-day bowling rankings - the only Australian in the top 10.
He has a career average of 21.5 which places him inside the top 15 on the all-time international list.
It's no secret McKay also wants to play Test cricket again, with his sole appearance coming in 2009 when he was a late call-up against the West Indies in Perth.
Given the injury problems in Australia's Test fast bowling ranks it's certainly not out of the question and McKay agreed the scalps of England Test batsmen Pietersen, Trott and Root in his second-over hat-trick could help that aim.
"It can't hurt that's for sure," said McKay on Saturday night.
"(But) every game I get to play for Australia and Victoria back home is a chance to impress the selectors."