McCaw, who had another inspirational game, acknowledged the Springboks played well after a poor season, but couldn't explain the indifference of the New Zealand side to the situation.
"We lacked a wee bit of composure," he said to SKY Television after the game.
Turnovers at lineouts, especially, put the All Blacks under pressure and the South Africans were able to capitalise, he said.
"We got ourselves in a position to win the game but this time we couldn't do it.
"It was disappointing not to finish on a high note," he said.
McCaw said he felt Andrew Hore should have been awarded a try that was ruled out by the Television Match Official who felt Rodney So'oialo had impeded a South African defender.
"I thought it was a try," he said.
Flanker Jerry Collins said, "We can only blame ourselves. We gave away too many penalties at the wrong end of the field.
"South Africa is a very proud nation and it is hard to come up here and take two in a row."
Springbok captain John Smit, who was playing in his home town, said it was a 'satisfying feeling' to win.
"It was not an epic Test but there was a fair amount of desperation," he said.
That desperation had been building up with every loss suffered by the side.
However, it was a case of keeping on going and keeping the pressure on the All Blacks.
He also highlighted the All Blacks' Achilles heel this year, its lineout, when he said, "Taking turnover ball [at the lineout] makes a huge difference."