"Teams like Otago are going to punish you if you spill the ball that easily. It comes down to a little bit of personal pride," he said.
"People need to take a lot more ownership of the little moments and in their own personal skill set. There are a few guys who would have learned a few things about dealing with pressure out there.
"You are always going to get that at this level - some handled it okay and some will have a good look at themselves no doubt."
McMillan refused to blame referee Cam Stone for the defeat, despite the Steamers being hit hard on the penalty count.
"I have no issues with the referee whatsoever. Over the last three weeks each and every one of those three games we could have won if we had just been a little bit more accurate and a little bit more urgent and a little bit more patient.
"We have a young team but they have to learn quick and they are starting to find that out."
Bay of Plenty led 24-19 at halftime after a try to prop Ziggy Fisi'ihoi and two to impressive centre Lalakia Foketi, with a major contribution from Rio Olympics sevens player Regan Ware.
But a sloppy start to the second half saw Otago kick two penalties to take the lead and then flanker Lee Allen strolled over and give Otago a 30-24 lead.
There was never any doubt about the Steamers ability on attack and after Haimona closed the gap with a penalty, Foketi scored his third try after the best move of the match involving most of the Steamers.
Stone upset the good-sized crowd in attendance by sending all four tries to the TMO as he struggled to make a decision but on each occasion local referee Shane McDermott ruled in favour of the home side.
Crucially Haimona slid the conversion from a handy angle wide of the posts but up 32-30 the Steamers needed to control the kick-off and work their way down field.
But that never happened as a shambolic error from the restart saw Otago gifted possession and the inevitable penalty awarded two plays later gave Fletcher Smith the chance to win it for the southern men.
Otago 33 (Michael Collins, Mitchell Scott, Naulia Dawai, Lee Allen tries; Scott Eade 2 cons, drop goal; Fletcher Smith 2 pens) Bay of Plenty 32 (Lalakia Foketi 3, Ziggy Fisi'ihoi tries; Kelly Haimona 3 cons, 2 pens)