Manchester City goalkeeper Joe Hart admitted it was his team's fault that they failed to register a famous win in the Bernabeu.
Real Madrid scored twice in the late stages to beat the Premier League champions 3-2, with former Manchester United forward Cristiano Ronaldo netting the 90th-minute winner.
"You can't go 2-1 up with five minutes to go and lose the game," Hart told ITV1. "Who else can we blame? We can only blame ourselves."
Aleksandar Kolarov's free-kick, a cross from the right which curled inside the far post when Xabi Alonso failed to kick the ball away, put City ahead for the second time in the 85th minute.
They had earlier led through Edin Dzeko, only for Marcelo to level. Karim Benzema fired Madrid level at 2-2 and Ronaldo thrilled the home supporters late on.
Hart said: "They're a very good team; so are we. We dug deep, got a lead twice and we lost it, so we can only blame ourselves.
"It's hard to come off the field after losing 3-2 and be positive. I'm really sorry.
"We're not a team that should come here and pat ourselves on the back for doing well. We're a team that gets results."
Dzeko told Sky Sports: "We led 1-0 and then 2-1, then we gave away these two goals at the end. This shouldn't have happened because if you want to win big trophies you shouldn't lose this game.
"I hope we can get stronger because it was almost like we had not enough experience. We were 2-1 and in three or four minutes we gave away two goals. It was too easy...too easy."
Madrid boss Jose Mourinho was thrilled with the result and also the performance of his team.
"It's a good win because the honour of my team is back," Mourinho said. "It's a big victory against a big team.
"We didn't deserve to suffer so much because we should have won the match much before the last minute."
Asked if he had any sympathy for City, who were clearly suffering, Mourinho said: "No, that's football. We deserved to win. I think we did a better match than them."