Fox had asked the Motion Picture Association of America's Classification and Rating Appeals Board to give McG's movie a less-restrictive rating.
After hearing statements from Ted Gagliano, president of feature post production for Twentieth Century Fox and from Joan Graves, who chairs the Classification and Rating Administration, the board upheld the R.
The board ruled that the movie has "some sexual content" -- enough to give it an R.
For an appeal to be successful, two-thirds of the board must vote that the rating is "clearly erroneous."
The board reviews between 800 and 900 movies each year. Usually, fewer than 12 are appealed.
Fox did not immediately return a call and email seeking comment.
"This Means War" is about two CIA operatives who become enemies when they find out they're both dating the same woman.
The movie is set for a Feb. 14 release.