Bay of Plenty led 13-3 at the break but should have been further ahead but for some sloppy goalkicking.
"At halftime we were happy that we were in front and we had got a lot of reward from out of going through the middle, so we wanted to see a continuation of that," McMillan said.
"But we also knew we needed to be playing a lot better than we were in the first half in order to get up because Southland are a team that don't lie down.
"They were always going to come back so we were frustrated we didn't put more points on the board. It felt like we left a few out there and we knew it was not going to be easy."
Southland were impressive in the second half which McMillan says came down to a more attacking mindset.
"They had nothing to lose and everything to gain and probably played a little less conservatively, whereas we didn't want to be conservative but we did want to stick to our structures.
"When that didn't happen and Southland started to get some reward from playing with more of a free spirit, we didn't deal well with that pressure."
Bay of Plenty had no time to dwell on the loss that leaves them in fourth place on the Mitre 10 Cup Championship ladder and just one point ahead of North Harbour who have a game in hand.
In Rotorua on Sunday afternoon they host a star-studded Auckland side sitting outside the top four in the top-tier Premiership and desperate for points.
"They have a lot of X-factor and experience right throughout their team so we will need to be at our best to win," McMillan said.
What he would like to see on Sunday is for Bay of Plenty supporters in his home town of Rotorua and from the Western Bay to turn up in big numbers to cheer the team on.
"It is hugely important. The boys always enjoy playing at home and it is a fantastic stadium. The last time we were there, we had our best performance of the season.
"We hope that despite our last couple of games, our supporters will come out and we can put in a performance that we can be proud of and they can be proud of."
