The A-League title-holders dominated proceedings against the Chinese Super League outfit in their 2015 AFC Champions League group stage opener on the Gold Coast.
The away side were reduced to 10 men from the 29th minute but held firm in the face of the Roar's constant probing, before a deflected Shao Jiayi free-kick in injury time sealed a smash-and-grab win.
"Really disappointed," club captain McKay told Fox Sports.
"We played a good game. We knocked it around well but that chance just didn't fall for us. We had a few half chances but maybe (we were) just not as patient as we could have been.
"We just had to move it at bit quicker than what we were, be at bit braver at getting in the gaps, turning and going forward. The send off helped us ... we dominated possession but we weren't creating enough. It's a cruel game, to concede like that right at the end."
Dutchman Thijssen, appointed to succeed the sacked Mike Mulvey with a brief to orchestrate a successful ACL campaign, couldn't hide his displeasure at the loss.
"Very disappointing," he said.
"If you see the game, it was just one-way traffic. You're waiting for the goal, we didn't get the goal and then at the other end ... a ball like this goes in. When you see the difference between the two teams, it's a shame we lose.
"We did not create enough chances. In that area you need ideas. We missed the ideas, with a lot of passing and keeping the ball but not really in the penalty area. That was a bit disappointing."