The Republic of Ireland international was the only Sunderland player without an embroidered poppy on his shirt during Saturday's 2-1 Premier League defeat at Everton.
Manager Martin O'Neill who, like McClean, was born in Northern Ireland, also wore a poppy.
A Sunderland statement said: "As a club, SAFC wholeheartedly supports the Remembrance commemorations. It was James' personal choice not to wear a shirt on this occasion."
A minute's silence was observed at grounds across the country, and a Premier League spokesperson added: "We have great support from the clubs. It is a matter of choice whether people wore the poppy."
Poppies - used by the Royal British Legion as a sign of Remembrance - have been a subject of debate in the game. In 2010 a group of Celtic supporters held up a banner protesting against their players wearing poppies on their shirt. The SPL giants apologised for the actions of a "small minority".
Derry-born McClean found himself the target for abuse earlier this year when he made his Republic of Ireland debut, having represented Northern Ireland at youth levels.
Under the terms of the 1998 Good Friday Agreement, players born in Northern Ireland can choose to represent either Irish team.