A 2-0 win at the Bernabeu was not enough to mend the damage of the first leg in Germany as Real Madrid lost 4-3 on aggregate to Dortmund.
There is silverware on offer though, and Ronaldo believes if they show the same desire against Atletico Madrid in the Copa del Rey final on May 17 the result will be different.
“We scored late. There were five minutes of added time but we couldn’t turn it around,” he told realmadrid.com.
“I think the first match was key because four goals are a lot in the Champions League, but the team were focused on trying to reach the final.
“We scored two goals but we could have had four or five... We showed that we are better than them. We’re a bit sad because we thought we could have been in the final.
“Copa del Rey is a different competition. It will be a different match and if we go out with the same desire I am sure that we will win.” he added.
Ronaldo also played down talk of him leaving the club.
He said: “I have two years of contract and I’m not worried about my renewal.”