The Brazilian full-back was very disappointed with his side's exit in Europe, but feels that the Blancos should be proud of their good performances in the competition
Madrid recorded a 2-1 home win over Bayern Munich on Wednesday after losing the first leg with the same score, but the German side eventually booked their ticket for the final after penalties.
"We gave an incredible performance in the opening minutes but we didn't manage to seal it in the end. It's sad, but we hold our heads up because we're having a great season. We fought, ran and did everything to win," Marcelo was quoted as saying on the club's official website.
"We had a great chance and we're all sad. We're a team and when one fails we all fail. We gave a great performance and, as warriors, gave our all to win. We worked very hard and needed just a little more.
"We didn't reach the final but we feel we're a great side nonetheless. Penalties are like the lottery and you miss them when luck is not on your side. Those who shot them can be proud."
Madrid resume La Liga action at the weekend when they host Sevilla.