The Germany international was upbeat despite the defending European champions going down to Karim Benzema's first-half strike at Santiago Bernabeu
Bayern enjoyed 72 per cent of the possession at Santiago Bernabeu but could not find an equaliser to Karim Benzema's 19th-minute opener as Madrid edged the first leg of the semi-final.
Lahm, who started in a defensive midfield role before being switched to right-back in the second half, felt Pep Guardiola's men were unfortunate not to take something from the game.
He told Sky: "We were missing a little bit of luck. The decisive action was missing. We were in control and we wanted to win. You could see that for 90 minutes.
"We had several good chances to score the important away goal, but it was not meant to be."
The hosts were content to sit back and play a counter-attacking game, a tactic which came as no surprise to Germany international Lahm.
"We were not surprised at all," he added. "We studied them and we knew they were very strong on the counter.
"It is nice to come to Madrid and dictate the game here. I don't remember Bayern Munich dominating here like this before.
"Of course we wished for a better result. But we still can do this at home."