Arturo Vidal was sent off in Bayern's 4-2 extra-time loss to titleholders Madrid, who completed a 6-3 aggregate win thanks to Cristiano Ronaldo's hat-trick in the Spanish capital on Tuesday.
Bayern were leading 2-1 on the night in the return leg with extra time approaching at the Santiago Bernabeu when Chilean midfielder Vidal received a second yellow in the 84th minute for what appeared to be a fair challenge.
Madrid then benefited from favourable offside calls as Ronaldo completed his three-goal haul in extra time.
Asked if Bayern were robbed, Dutch winger Robben told Viasat: "Yeah, you know in my opinion it's a shame because you see such a great game.
"Everyone in the world saw two great teams against each other with great players on the pitch.
"It was a joy to watch. Then a game like that is being decided by the crucial decisions of a referee. I don't like talking about referees but you always have to look at yourself and the mistakes you make or what you have done wrong. In this case, it wasn't one, it's more and crucial decisions decide games.
"It was a great advertisement for football and then it's being decided by someone with a whistle."