The sporting world was sent into mourning following the tragic passing of 40-year-old Lomu in his native New Zealand.
Lomu, who was diagnosed with a serious kidney condition in 1996, tallied 37 tries in 63 appearances for the All Blacks, while he is the joint-leading try scorer in Rugby World Cup history alongside Springboks flyer Bryan Habana.
Tributes have flowed for Lomu since his unexpected death and two-time World Cup-winning skipper McCaw paid tribute to the rugby great after announcing his retirement on Thursday.
"It was a big shock as we all know," McCaw told reporters.
"My thoughts and condolences go out to his wife and two young boys and family.
"I was thinking about my experiences with Jonah. When I first became an All Black he was in the team. To play alongside a guy you have watched as a young fella was pretty amazing."
McCaw recalled New Zealand's tour of Britain and Ireland in 2001, which highlighted Lomu's global status.
"We got to a training ground and there were hundreds of people in Ireland," McCaw added.
"I climbed off the bus and the whole mob came at me and I thought, 'This is pretty cool to be an All Black.' And they kept running past and behind me was Jonah … that was the man they were after.
"That really hit home to me about the superstar he was.
"So I just wanted to take a moment to express my condolences. He was a legend of the game, I think (he was) bigger overseas than he is here in New Zealand.
"There are a lot of people around the world that will be hurting at the loss of a great man and a great All Black."