Goals from Cristiano Ronaldo and Casemiro sealed a 2-1 victory for Madrid at the Parc Des Princes on Tuesday and Zinedine Zidane's side completed a 5-2 aggregate victory.
Danilo, who left Madrid in July to sign for City, was not surprised by how his former team-mates outshone PSG.
"Only those who didn't know Real Madrid could think they were dead," Danilo told reporters.
"Madrid have won the last two cups and those people said there were dead. Madrid have history, fans and you have to respect them."