"The amount of racial abuse and personal attacks on myself and family from 'supporters' and 'non supporters' just ain't it," McKenzie, who is Black, wrote on his Instagram Stories late Monday.
The posting included an example of the abuse.
McKenzie, 22, who plays for Genk in Belgium, had a giveaway Sunday night that led to Jesus Corona's goal for Mexico after only 63 seconds and was whistled for a handball in the 119th minute. Ethan Horvath then saved the penalty to preserve the win.
Later on Tuesday, McKenzie took to Twitter to further denounce the abuse and called on social media organisations to "step up and be held accountable as well."
The final in Denver was marred by unruly fan behavior that included objects thrown onto the field and a brief pause in the game because of fans using an anti-gay chant.
McKenzie joined Genk from MLS side Philadelphia Union in January.
Speaking at a news conference ahead of the USMNT's exhibition on Wednesday against Costa Rica, team manager Gregg Berhalter called the abuse "disgusting."
"It has no place in sport. The guys that in our business, professional sports, you take enough criticism about performance and about guys having an off game and saying you're not a good player or something like that," Berhalter said. "And to bring something like race into it is absolutely disgusting and out of bounds and there is no place for it.
"I've been following you know, the [abuse toward] players in England as well and now it's closer to home and we support Mark 100% and we don't stand for any of that stuff. We have absolutely zero tolerance for things like that.
"I wish there was a way to hold people like that more accountable. To me, it's people get on Twitter and get on Instagram or whatever and they get bold and they do things that they normally wouldn't do in life. And I wish there was a way to hold them more accountable because that has no place in our in our day."