He also said there is a lack of communication among West Virginia's congressional delegation.
McKinley said West Virginia's representatives and senators have met only once during his two and a half years in office.
And while he occasionally has dinner with Sen. Joe Manchin and talks with Capito and Rep. Nick Rahall on the House floor every day, McKinley said the group never sits down in the same room to discuss issues.
He said he would like to get all of West Virginia's federal lawmakers together at least once a quarter.
"I don't know whose role it is to pull it together. But we ought to be doing it that way," he said. "I'm too old to be fussing around with people who can't talk with each other."
West Virginia learned last month 450 jobs that were supposed to be added to the Bureau of the Public Debt in Parkersburg will remain in Maryland for at least the next six years.
McKinley said the state's federal lawmakers did not step in on the matter because they were "caught off guard." Better communication could have prevented Parkersburg from losing the jobs, he said.
West Virginia's lawmakers need to communicate better in order to protect the state's interests, he said.
"There are more congressmen that represent Allegheny County (Pennsylvania) than in the whole state of West Virginia," he said.
"A lot of it is rural versus urban center. We're outnumbered. Badly."