The goalkeeper was unhappy with how many errors were made at Signal Iduna Park as the Blancos went close to being eliminated to a spirited Dortmund side
The Blancos started well but Angel Di Maria's saved penalty gave the hosts the momentum they sorely needed, with Marco Reus scoring twice afterwards in the first half to set up a nail-biting second period for both sets of fans.
Carlo Ancelotti's men were defending a 3-0 lead from the first-leg and, despite being second best throughout the game, they were able to prevent the Schwarzgelben scoring the third goal they needed to take the game into extra-time.
Casillas believes that Madrid made it unnecessarily hard for themselves and has demanded that mistakes are erased from their performances if they want to win La Decima this season.
"We suffered more than we should have," the goalkeeper told reporters after the game.
"The goals were from our mistakes. At 2-0 down and with a missed penalty a lot goes through your head.
"We can’t make errors like that in the semi-finals. Maybe it's good for us to get a wake-up call like that from time to time. It's better that it came tonight."
Madrid were joined in the last four by Chelsea, who defeated Paris Saint-Germain on Tuesday, while Barcelona or Atletico Madrid and Bayern Munich or Manchester United will also be entered into the draw.