The Swans were level at halftime of the qualifying final, but fell away horribly to suffer a 54-point defeat.
Breust remarked this week that it "didn't really feel like a final".
"We had so many uncontested marks," he said.
"You normally expect finals footy to be pretty congested and a lot of contested footy."
Rather than take it as a slight on the reigning premiers, McVeigh conceded Breust was on the money and that the poor performance had left the Swans embarrassed.
"I think a few of the comments were 'it was an unfinals-like game,' McVeigh said. "That really gets at us and they are probably right in saying that,"
"They had a lot of uncontested ball and that's something that we haven't been known for.
"We're filthy about the way we played.
"We were really embarrassed with our performance and a few of the comments coming out of Hawthorn, you know they probably felt the same way as we thought."
When asked about Breust's comments on Thursday, Swans coach John Longmire admitted "there wasn't the pressure that we usually apply".
McVeigh was confident the Swans would bounce back on Saturday night in the sudden-death clash with Carlton at ANZ Stadium.
"One thing I know about this team is they don't give up and they'll always come back when the big games are on," he told radio station SEN.
The 28-year-old said he'd be right to take on the Blues, despite suffering a knee injury against the Hawks.
"I was probably fortunate that it wasn't as bad as we thought in the beginning."
