McCullum knows what it's like to lose a World Cup final, as he was at the helm when New Zealand lost to Australia in the final of the 2015 edition in Melbourne. New Zealand's defeat at Lord's may have hurt them even more, given how they fell agonizingly short of winning their first ever World Cup title.
After levelled scores in the match and then in the Super Over, England were awarded the game and the coveted trophy on boundary count. McCullum recalled that the players were 'pretty broken' after the game. Yet there was an element of pride over having made the final in the first place.
"I was lucky enough to have a beer with them in the changing room and they were pretty broken, that's for sure," McCullum was quoted as saying by stuff.co.nz.
"They were also really proud of what they did and how well they played. Over the coming months and years, whilst it's still raw now, they'll understand just how magnificent that spectacle was. And for it to happen on the biggest of stages, to have played the hand that they played in that match is absolutely amazing.
In face of the heartbreak, McCullum urged the team to look at the bigger picture, which is the positive impact New Zealand's overall performance will have on the game in the country, much like it did after the 2015 show.
"It was a missed opportunity but I looked at the positives of the rest of the World Cup and what it did for the game in our country rather than focusing on that last moment."
New Zealand are lined up for an exciting home summer later this year, as they host England and India. The high-profile series on the back of a fantastic World Cup performance could further enhance the game's cause in the country.
"A full calendar on the back of that World Cup performance, to have England arriving, to have India here, it's going to be pretty fascinating for cricket fans," he said.
"I'm confident that New Zealand will perform well. They're very good in their own conditions, that's for sure. But both those two teams will present a significant challenge."
New Zealand's immediate priority would be their tour of Sri Lanka, where they play a two match test series beginning 14 August in Galle, followed by three T20Is.