The Reds went into their home leg at Anfield a goal down but hit the lead in the first five minutes of extra-time when Yossi Benayoun added to Alberto Aquilani's first-half goal to make it 2-0 on the night and 2-1 on aggregate.
But Madrid's Diego Forlan managed to grab an away goal for the visitors in the 102nd minute which Liverpool could not get back and they ended the night empty-handed from a competition they were expected to win.
Benitez said that the players had had no luck all season and it continued into the semi-final second leg.
"Everything seems to have been against the players this season," he said.
"It is clear that we had some problems. We had too many injuries and were lacking forward options. But the players worked so hard tonight and I am very proud of them.
"Now we have to concentrate and do our best in the next two games."