The former Blancos attacker criticized the hosts for what he considered a slow start and was adamant that Bayern "dominated" despite the defeat.
Karim Benzema's goal in the opening 20 minutes was the only difference on the scoresheet and, although Pep Guardiola's men dominated possession, they struggled to create meaningful chances.
Robben, who spent two years at Madrid before joining Bayern in 2009, refused to accept his team was inferior and expressed his shock that Carlo Ancelotti's side was willing to allow the holders to dictate play.
"I have to compliment my team," the Dutchman told NOS. "We played a world class team, in the Santiago Bernabeu, but still we dominated and were the better side. I expected more from Real Madrid. I expected Madrid to come storming out of the gates but instead they waited and allowed us to run the game."
"We didn't create many chances, but it should have been enough to score at least one goal. At the end we wasted a big chance. This is a bad result, but nevertheless I feel good about the game," he added. "Confidence will be high ahead of the return. We know they are lethal. With their goal you could see what they are capable of. That is their quality and we have to be careful."
The result means that Bayern must win at the Allianz Arena next Tuesday if it wants to compete in the final for the fourth time in the past five seasons.