Ali Al-Hamadi and Conor Chaplin struck for Ipswich as the scores finished 2-2 in normal time before Wimbledon won the penalty shootout.
“A perfect start, to be honest, there were some really positive things about the performance,” McKenna reflected.
“There wasn’t too much wrong with it apart from our defending of two set plays that we gave away cheaply, which we knew we couldn’t do tonight.
“We didn’t defend two set plays well enough and that put us in a difficult situation. The slickness of our play in the final third to create chances will improve as the understanding between the players develops. That wasn’t quite there.
“But other than that, there wasn’t too much wrong with the performance. And then we go to penalties and it doesn’t go our way.”
McKenna also said: “We wanted to progress in the competition, but it’s really, really clear what our priorities are this season and we’ve got a lot of new players to integrate and not many chances to do it.
“It’s not possible to do it in a Premier League game, so to get as many of them on the pitch tonight as we could was the priority for the football club, and, of course, that always gives a chance that the performance won’t be as you would hope.
“That’s what was the case with certain elements of the game but other than that, it was really two set plays that cost us. It wasn’t that our general performance or attitude or anything weren’t too far from where we want them to be.
“We made the changes. You know when you make those changes that the possibility of a difficult result goes up but everyone knows what the big, big priority for the football club is this year and it’s my responsibility to try and make decisions that help us with that goal.”