The US President is said to have made the comment during a phone call in which he demanded to know why James Comey had been allowed to use an FBI plane on the day after he had sacked him as head of the agency.
Mr McCabe told the 71-year-old he was not asked to authorise the flight, but would have approved it if done so, according to NBC News which originally reported the story.
After a moment of silence, Mr Trump is said to have suggested that he ask his wife what it felt like to be a loser.
He appeared to be referencing his wife Jill McCabe's failed attempt to win a state senate seat in Virginia in 2015. Running for Mr Trump's Democrat rivals, she lost by just over 2,000 votes.
Mr McCabe responded, “OK, sir”. The President then ended the call.
Mr Trump was reportedly furious after watching TV footage of Mr Comey board the government plane from Los Angeles to Washington DC, shortly after he fired him.
Multiple sources reportedly told the US broadcaster that the President believed all Mr Comey’s privileges should have been revoked from the moment he lost his job.
The President had previously attacked Mr McCabe on Twitter after it emerged that Ms McCabe accepted nearly $500,000 (£357,000) in campaign donations from a fundraising group linked to Hillary Clinton.
How can FBI Deputy Director Andrew McCabe, the man in charge, along with leakin’ James Comey, of the Phony Hillary Clinton investigation (including her 33,000 illegally deleted emails) be given $700,000 for wife’s campaign by Clinton Puppets during investigation?— Donald J. Trump (@realDonaldTrump) December 23, 2017
Earlier this week Mr McCabe announced he was quitting from his role as the FBI's deputy director.
It followed reports that Mr Trump was encouraging Attorney General Jeff Sessions to put pressure on the agency's head, Christopher Wray, to sack him.
White House press secretary Sarah Sanders said the President played no part in Mr McCabe’s departure.
She added that Mr Trump stood by his past statements about the departing deputy director.