The Ligue 1 leaders lost 2-1 to the holders at Parc des Princes in Tuesday's second leg, ensuring a 5-2 aggregate defeat to Zinedine Zidane's side.
PSG reacted to their dramatic defeat to Barcelona at the same stage last season by investing roughly €400million on Neymar and Kylian Mbappe in a bid to improve their fortunes in Europe, but they rarely looked likely to overturn their 3-1 deficit from the first leg, with Neymar not even involved due to injury.
Marquinhos said the Champions League was their primary goal for the season and feels they are some way short of challenging properly for the trophy.
"It's very frustrating. It's hard to be knocked out of this competition as it was our main objective," the centre-back told beIN SPORTS .
"It shows we still have to work, to be more mature and have more experience.
"You could see Madrid were good on certain details while we didn't manage to be good on those small details.
"I think we can't win this competition right now. Everyone tells us we have to lose a lot in order to learn and to win this competition."
Goals from Cristiano Ronaldo and Casemiro secured victory for Madrid on the night, with Marco Verratti seeing red for PSG on a chastening evening for the Ligue 1 leaders.