A Pat Lambie penalty from fully 55 metres with seconds remaining gave South Africa a 27-25 victory that ended the All Blacks' run of 22 Test matches without defeat.
McCaw is now third on the all-time Test appearance list, headed by British & Irish Lion Brian O'Driscoll, and insisted the All Blacks have been a credit to the nation during their run.
"The boys are hurting and rightly so," he said. "They're hugely disappointed because even though we didn't play well early we gave ourselves a chance and we didn't get there.
"Even though we lost I was still proud to stand there with a bunch of good men. That's why I play the game."