City were knocked out 4-2 on penalties after playing to a 1-1 draw in 120 minutes of normal play at the Cape Town Stadium on Saturday afternoon.
The victory is Chiefs second over the Citizens under two months, having beaten them 2-1 in the Absa Premiership back in August.
"We played football. We opened their defence apart, one-on-one with the goalkeeper and we didn't put the ball in the net. Kermit (chance) 2-0 up, I think Chiefs don't come back.," McCarthy told SuperSport TV.
"Overall, it was a great game of football. Today we showed what a great team we are, what a team we can be if we learn to bloody score more than one. You score one and then you're happy instead of getting a second, a third or a fourth, and we come to shoot ourselves in the end."
McCarthy also bemoaned the officiating on show today, citing it 'diabolical' as many challenges from either side went unpunished.
"They say coaches when you lose you complain about the referee, but it was plain to see the referees today was diabolical, you know and players could've been injured long term with some challenges, there were certain instances where players could've been injured," he added.