The Rams boss, re-appointed in October, wishes the club hadn't made this decision six weeks earlier.
McClaren was re-appointed as Rams boss in mid-October, just 17 months after he was sacked at the end of the 2014-15 season.
Since his return, the former England boss has revitalised the East Midlands club, losing just one of his 10 games in charge.
The club are currently on a tremendous run of seven Championship victories in a row, during which period they have scored 14 goals and conceded just twice.
McClaren appears to have worked wonders, but he admitted to BBC Radio Derby that he could not help feeling surprised six weeks before his re-appointment when the Rams let their top scorer Martin leave on loan.
McClaren said: "I thought it was [strange] at the time. I wasn't the manager and managers have to make decisions."
It is certainly not a move that made sense at the time. Martin was the club's top goalscorer in each of the last three seasons, netting 60 goals in 137 games in that time.
However, after ailing to find the net in any of his first six games this term, the Scotland striker was allowed to join Fulham on loan, and it certainly does not seem as though he is being missed at the iPro Stadium at the moment.
Nevertheless, McClaren added that he is glad the striker is ineligible to face his parent club when Derby take on Fulham this weekend.
McClaren continued: He doesn't play - thank goodness. He is a goalscorer. I have the highest regard for Chris as everybody knows.
"He's doing a good job for Fulham and they are very pleased with him - I know that. We are just monitoring the situation to see what happens."
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