Alexander Isak broke the deadlock with 26 seconds on the clock and went on to complete a hat-trick, Jacob Murphy getting the other, with the Magpies having several other good chances in a one-sided game.
"We have to take some lessons from it, for sure," said McKenna.
"We haven't had many like that, we've been really, really competitive across the season, and I've been saying that the group has to be close to 100% for that to be the case.
"We didn't manage to be that today. We came up against a vey good opponent who were better than us and the game ran away from us.
"There are certainly things, from the first half especially, that we need to do better. There are things we've done really well this season that we didn't manage to show today.
"It's crystal clear that we're going to have to show a different side of us in the next couple of games (against Arsenal and Chelsea)."
The Blues boss continued: "The game was realistically gone at half-time. Of course, at 3-0, you don't give up in terms of the result, and we wanted to get the next goal, but really the second half was about showing the right characteristics and the right resilience. I think the crowd showed that as well to a really high level. They stuck with us. They know the journey this group's been on. I think most understand how hard it's been for us to be as competitive as we have been.
"Today got away from us. We don't want that feeling too often, so we've got to learn lessons, learn them really quickly, and try and hit our absolute maximum level in the next couple of games."
Asked specifically what those lessons were, McKenna replied: "The first goal is disappointing, we've made a couple of mistakes, but that can happen if you're a team that starts on the front foot against a very good team.
"For me, it's the 20 minutes going up to half-time. Because after the early goal we were okay, we had opportunities on the ball, we got into good areas, we had some big chances and the game was pretty open. But the game started to get away from us in the mid-point of the first half, they were becoming a big, big threat and our game management, our decisions, our defensive organisation, our defensive resilience - things we've been excellent at this season and leaned into in difficult times - we didn't do today.
"We allowed the game to be open, we allowed the game to be end-to-end and with the personnel and athleticism Newcastle have that always suited them. We didn't stem that flow and that's part of the reason why the game went from 1-0 to 3-0 and really got away from us. I think we needed to manage that period of the game very, very differently and make sure we got to half-time at 1-0 down and give ourselves a chance to attack the second half."
Newcastle's third goal, scored in first half stoppage-time, came after Jens Cajuste was dispossessed following a short pass out the back from goalkeeper Aro Muric.
On that moment, McKenna said: "We'll never know if it was a costly moment. That particular action we've done time and time again this season, time and time again last season. We're actually one of the teams who have conceded the fewest from building up. We've been good with it.
"This incident was about the context of the 15/20 minutes I've just talked about where we weren't managing the game well, where we weren't recognising the state of the game. That incident is easy to pick out, because we need to do better on it, but that was completely in the flow of the spell where there were lots of decisions, both from an attacking and defending point of view, that led to chances for the opposition.
"So it's not necessarily, for me, a discussion around playing out from the back, because we know that's something we believe in and has worked well for us, but more about managing the game in really difficult moments. That goal was in context with the 15/20 minutes that came before it."