Newcastle ended days of intense speculation by sacking the former England manager on Friday just nine months after his arrival at St James' Park, with Rafael Benitez subsequently hired as his replacement.
McClaren oversaw just six victories from 28 league matches, leaving Newcastle in 19th and a point adrift of safety, with a shambolic 3-1 defeat at home to AFC Bournemouth on Saturday sealing his fate.
But the 54-year-old feels that Newcastle would have retained top-flight status under his stewardship.
"I am obviously very disappointed with the decision," McClaren said via a League Managers' Association statement. "I appreciate any frustrations relating to the team's results and the club subsequently finding itself in a battle to avoid relegation.
"I remain confident, however, that we would have stayed in the Premier League with a view to building for next season.
"Whilst there has been a lot of intense speculation surrounding my position over recent days, my sole priority has been to maintain my professionalism and carry on with my work to best prepare the team.
"I would like to place on record what a privilege it has been to manage Newcastle United. It is a great a club - the embodiment of the city, with incredible supporters.
"I'd also like to thank [owner] Mike Ashley and the board for giving me the opportunity to manage the club, and the staff and players for their loyalty and efforts.
"For every supporter of Newcastle United, I genuinely hope the club can produce the results I believe they are capable of, between now and the end of the season, to maintain their Premier League status.
"Newcastle United is a club that must build for the long term to deliver what the supporters deserve - success and silverware."