And with those results counting as part of the cumulative score, Britain's record left them too far down the standings to get into medal contention.
"Winning the medal race at the Olympics is always very nice, especially as it might be the last for the multihulls so we may have won the last ever multihull medal race at the Olympics," said McMillan.
"Obviously we came here to be in the medals and had a really good chance to achieve that so it was disappointing to finish outside.
Video - Spain sail to Tornado gold
"We had a really tough beginning to the week but came through at the end with some good, consistent results. Unfortunately the errors that we made early on were too damaging for us to get back into the medals."
Canada and the Netherlands crossed the finish line in second and third place on Thursday, with Spain, Australia and Argentina - in that order - the next three boats to finish.
Winds of up to 30km/h and choppy seas at the Qingdao Sailing Centre made life difficult for all the teams on the water, but Spain held their performance together under pressure to spark huge celebrations with their supporters.
Bookmark with:
What are these?