Wigan full-back Jai Field produced three brilliant try-saving tackles on home soil, including denying Taylan May a score on the full-time hooter, with the video referee unable to overturn the on-field decision of no try.
The defeat leaves Penrith still searching for their first World Club Challenge, with a record of 0-4 now in the competition.
“Wigan should be congratulated on their defence,” Penrith boss Cleary said.
“They were very desperate and came up with a lot of scramble throughout the night.
“Our attack was a little clunky at times, which is not surprising, the first game of the season and quite a few different combinations as well.
“In three trips in our end, they scored three tries, which is something we don’t pride ourselves on.
“They took their chances and we didn’t and congratulations to Wigan for doing that.”
Cleary praised the occasion at the home of the Warriors, with a sold-out crowd of 24,091 enjoying the spectacle live, with pre-match entertainment from Heather Small and Russell Watson alongside a fireworks display.
Wigan’s victory saw them claim a record-equalling fifth title, while head coach Matt Peet has now won all four major trophies since taking charge in 2022.
“It felt pretty big tonight, I thought it was outstanding,” Cleary continued.
“I thought it was great for the game and feels like it was great for the Super League.
“We were happy to come here and I stand by that. I’d much prefer to come here and lose than not come at all.
“I thought it was a great night for rugby league, whether we won or lost.”