"It was a huge moment for us but we let the opportunity pass," he said in a post-match chat.
New Zealand lost half their batting side for 62 runs in the 24th over and managed to put up a fight only after Kane Williamson struck a 54-ball 67 and stitched 73 runs for the sixth wicket with debutant Corey Anderson at the Sophia Gardens yesterday.
"Our batting needs work. There was pressure after we lost early wickets and the England pacers really bowled well," McCullum said.
TV replays showed Broad's heel clearly overstepped the line, but Williamson was given out.
