The Eagles overcame a woeful afternoon in front of goal to lead North Melbourne by 18 points early in the final quarter of Sunday's match in Bunbury.
But with victory in sight, they imploded from that point on, committing a host of costly errors as North Melbourne stormed home with the final four goals to snatch a 10-point win.
The result left West Coast in last spot with a 1-12 record - two wins adrift of their nearest rivals Richmond.
It was also the third close game West Coast have lost this season, following two-point defeats to Essendon and Richmond.
McQualter feels his players went into their shells when the game was there to be won.
"We're going through this little period at the moment where we're clearly playing better football, but we need to learn how to win," McQualter said.
"We need to be able to put those games away.
"We need to keep being really vulnerable and open about our thoughts and the feelings we have in those moments.
"When you're in that position at three-quarter time, you need to keep attacking the game.
"I felt like we went safe. We went away from what we had done and it just fuelled North's game.
"We need to be able to lean into those moments. You need to look forward to those moments as a player, rather than trying to save the game."
McQualter wants to use the club's latest heartbreaking loss as a significant teaching point.
"Our players want to win, but we've just got to teach them how," he said.
"Sometimes it's just by, 'You don't have to do more'.
"Sometimes people try and throw the team on their back and try and do it all themselves, and it's very rare that it happens like that.
"We'll use those moments in the last quarter as education points and ensure that we just have to get better."
West Coast's horror goalkicking came back to bite them.
The Eagles had 1.13 to their name by midway through the third quarter before finally finding their groove.
But their inability to apply significant scoreboard pressure earlier in the match proved costly, with North storming home to grab the 9.8 (62) to 5.16 (52) win.
"It can be a bit contagious, that's for real," McQualter said of the inaccuracy.
"We were 1.11 at one stage. It breaks your heart."
McQualter heaped special praise on defender Harry Edwards, who kept star North Melbourne forward Nick Larkey scoreless from 11 disposals.
West Coast will be back in action on Sunday when they host Carlton at Optus Stadium.
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