The Galatasaray star was unable to make his mark against his former team as he was replaced at halftime when his side was trailing 2-0.
The Netherlands international featured from the start of the first leg at Estadio Santiago Bernabeu, but he was taken off at halftime after failing to make an impact in the opening 45 minutes.
"Of course I am disappointed. I wanted to finish this game, especially here at the Santiago Bernabeu where I played in the past. I was unable to do that and that's disappointing," Sneijder told NOS. "I am in good physical condition and I'm feeling good. I did have a few minor physical problems, though, because I had to do a lot of running. But that's not an excuse, because it's clear that I should have offered more.
"Normally, I receive the ball between the lines when I am available for one or two seconds, but not this time. When that doesn't happen, you're pretty much invisible. It might have looked pretty bad, but it wasn't that poor."
Galatasaray will be looking to bounce back from the loss to Madrid on Saturday when it hosts Mersin Idman Yurdu three days prior to hosting the return leg against Los Blancos, with a place in the Champions League semifinals on the line.