McClean won the free-kick that led to Sunderland's opener from a Sebastian Larsson dead ball before glancing home a header just before the hour to help the Wearsiders through to a fourth-round tie against local rivals Middlesbrough.
"I know him well. We had him here. I spoke to him, met him and I thought we had the deal done, but unfortunately Sunderland came in at the last minute," Ferguson said.
"He is some player. We watched him many times in Ireland but a big club like Sunderland came in and that was his choice. I think he will go on to be a really good player. We were just a bit unfortunate not to get him."
McClean's goal was his second in six days after scoring in the Black Cats' 4-1 win over Wigan last week.
O'Neill, who has now masterminded five wins from his first seven games as Sunderland boss, has been impressed with how quickly the left-sided player has taken to top-flight football.
"He has played three on the trot now and he's been brilliant," O'Neill said.
"In my first week here he played against Manchester United in a reserve game that I thought was going to be called off because of 70mph winds.
"The conditions were dreadful but he quickly came in to the game.
"He did brilliant on the night and he showed a real aptitude for it. We took a chance with him. He had a little bit of luck when he came on against Blackburn but he electrified the place and he has continued to do that."
Source: PA
Source: PA