Gold Coast managed to reel in the Crows on several occasions at Adelaide Oval before falling away in the final term.
They remain entrenched in the top eight despite the loss, having beaten a host of mid-table sides already this year.
Of the Suns' seven wins this season, six have come against teams outside the top eight.
Their next five matches though will prove huge tests as they take on the Sydney Swans, West Coast in Perth, Geelong, Hawthorn and Collingwood.
Top-eight challengers Adelaide played some of its better football on Sunday and proved too good for the second youngest side in the League, but McKenna said his players should still fly home confident.
"We passed the first lap OK, we've got a second lap which is middle of winter, all those types of things when you start to work out 'are we a chance' [of playing finals]," McKenna said.
"Even to three-quarter time, the belief the boys have got – they never stop working.
"We probably just coughed up some crucial ball at the wrong time today … our tails should be up, our noses should be up, sniffing what's potentially around the corner.
"If we continue to compete well and use the ball well, you'll end up where you end up.
"History says 12 games gets you in the finals, we've won seven, we've got another five to find."
A beefed up siren was no longer an issue at Adelaide Oval on Sunday, nor was the umpires' treatment of Suns skipper Gary Ablett, but the length of the grass troubled McKenna.
The Suns coach labeled the ground Australia's 'hairiest', advising its groundskeepers to lower the blades on their lawnmowers.
"It's probably the longest I've seen grass in the AFL, I don't know whether that was by design or not or was there a public holiday on Friday? Maybe they just need to switch the blades down a few notches," he said.
"Whether that's their conditions – rain, sun – I don't know, I don't live over here, but certainly it was the hairiest ground I've ever seen this year."
McKenna said both Trent McKenzie and Danny Stanley would be assessed for damage after suffering shoulder injuries in the club's loss.
McKenzie was subbed out of the game at three-quarter time, while Stanley played out the game.
"Fingers crossed, Trent McKenzie's got a bit of history, we hope he's going to be OK and Danny Stanley was the same," he said.
Twitter: @AFL_Harry