The 26-year-old was lost for words after his nation stumbled to a 1-0 loss in their Euro 2012 opener, saying that it was similar to his club side's Champions League exit
Michael Krohn-Dehli's first half goal proved enough to hand the Danes victory in the opening Group B fixture, with Bert van Marwijk's team wasting a number of chances in front of goal.
It was a similar story at Camp Nou in May, when Barcelona dominated proceedings against Chelsea, only to be eliminated from the Champions League by Fernando Torres' late effort, and Afellay noted that the two games could be compared.
"Unbelievable. Maybe you can compare this match with Barcelona - Chelsea," he told reporters after the match.
"We had so many chances. In the first half we played very well. But they scored, against the run of play. It's hard to say what went wrong.
"From all the chances we had you must score at least twice," he bemoaned. "But the fact that you create so many chances tells that you play well. It's disappointing to lose."
Afellay did concede, however, that the Netherlands team had no one to blame but themselves and labelled Oranje's remaining two group games - against Germany and Portugal - as must-win fixtures.
"It's now do or die. We have to win if we want to progress. The only positive thing is that we created so much chances."
Netherlands face Germany on Wednesday in Group B's second round of matches at 20:45CET.