Trailing 3-0 from the first leg, Diego Simeone's side scored twice in the first 16 minutes through Saul Niguez and Antoine Griezmann to give themselves hope of a stunning comeback at the expense of the holders.
However, a goal from Isco shortly before half-time effectively killed the contest and Madrid saw out the second half in more comfortable fashion to progress to the final with a 4-2 aggregate win.
Marcelo felt Madrid fully deserved to progress and is relishing the chance to fight for a LaLiga and Champions League double in the last three weeks of the season.
"We conceded two goals but in the end we were superior. At the start we let in goals that we didn't want but we knew that it was going to be difficult. We started to take control," he told BeIN Sports.
Asked if he feared an aggregate defeat, he replied: "Not at any moment. We're Real Madrid and we're going to fight until the end, always respecting the opposition.
"Now we think about LaLiga and there are only amazing games left."
Isco's goal came about after a quite brilliant piece of skill from Karim Benzema that left three Atletico defenders for dead to the left of the penalty area.
Marcelo praised his team-mate's contribution, adding: "Karim helped us with his magic that he has and we're very happy to go through.
"We are happy. On this pitch, the fans are very important. I hope they keep supporting us because they help our game."