"I'm scratching my head as to how we got nothing from the game," he said.
"Not many teams will do that to Arsenal and not come away with anything. But it's about putting the ball in the back of the net.
"Cech was the difference, that why he's been such a great goalkeeper. Goalkeepers can win matches and he certainly won that game."
It was the third game in succession in which the Magpies have drawn a blank but McClaren believes that will be addressed - adding that the club were likely to do some business in the transfer window.
"We need to work hard in training and be more ruthless in front of goal," he said.
"The goals will come. January has come and we will have a discussion about that - we are working hard behind the scenes."