Despite dominating virtually all of the second period, McCall's men fell to a single-goal defeat following Anton Rodgers' superb first half winner direct from a free-kick for Swindon.
Ahead of Rodgers' opener, Marc McNulty squandered a promising opening for the Bantams while James Hanson went close on four separate occasions during the game, with the striker hitting the post eight minutes from the end of normal time.
McCall said: "We're left scratching our heads a bit at the end after not getting anything from the match.
"It was a little bit similar to Southend at the start in the way that we were a bit sloppy in our play and slow to get started.
"We have given the ball away leading up to their free-kick. Fair play to the lad though, there isn't much you can do when he puts it over the wall like that.
"Even though we weren't completely dominant in the first period, we've had three great chances to score.
"We've not been clinical enough though.
"We knew at half time that we would get more chances in the second period because of the players we have on the pitch.
"We've had a header against the post, shots blocked and efforts saved.
"I'm clearly disappointed that we have not got at least a point out of the match but we've not scored today (Saturday) simply because we've not been clinical enough.
"When you get your opportunities in football, you have to take them."