Craig Slater's shot in the fifth minute of injury-time bobbled in front of the keeper before bouncing into the net to help steer the visitors further away from the Scottish Premiership relegation play-off spot.
"We were not happy drawing 1-1 at home but going for the winner you leave yourself open at the back. To be fair to Kilmarnock they have already hit the bar in a break away," said McCall.
"They have caught us again and it was a good strike from Slater but the ball bobbled in front of Gunnar Nielsen, who was going to make the save, and carried over him.
"It was a little bit of bad luck. I think a draw would have been a fair result but maybe Kilmarnock were due a little bit of luck.
"We played some good stuff in the first half and got some good balls into the box and missed a couple of chances.
"It was a sickener to lose a goal with the last kick of the game. If we were coming in at 1-1 we would have thought okay we could have played better."
Kilmarnock boss Allan Johnston was delighted to see his men grab a late winner having fallen behind in the first half.
"We knew it would be hard game but I thought we passed the ball well and the players showed great character," he said.
"The first half was even but I thought we had the better possession in the second half and had better chances.
"We had lots of good performances from Alexei Eremenko in the middle of the park to the two young central defenders.
"We now need to make sure we get that kind of performance every week."