Real won the first-leg of their Champions League semifinal 2-1 in Munich.
Rodriguez provided a perfect assist for Joshua Kimmich's opening goal but the hosts then failed to take a single one of their subsequent chances.
"I'm angry because we've played a good game," he explained in his post-match interview.
"They've had two clear chances and took them, and we've not taken four or five of our chances.
"It's football, now we have to think about the Bernabeu."
"Nobody knows what's going to happen," James confirmed.
"My present is Bayern Munich, I don't know if I'll reject a return to Madrid. We have to think about the present, I'm comfortable here."