The on-loan Manchester City striker and his Malaga teammates conceded twice in injury-time to allow Borussia Dortmund to win 3-2 in the Champions League quarter-final second leg leaving the South Spanish club despondent after the final whistle.
"We are still trying to take in what has happened. The dressing room is very depressed," said Santa Cruz.
"It was a game that incredibly we let slip out of our hands In the end they had a lot of luck. Not only for scoring goals but because of the situations as well. The third (goal scored by Felipe Santana) was offside. They had a lot of luck.
"We are very disappointed. We were four minutes from a semi-final and everything slipped out of our hands in those last few minutes.
"It's such a pity to lose like this especially as every one of us put in a huge effort. Our supporters saw a great game and a great performance from their team.
"I am sure the fans are as devastated as we are; they understand what we are going through."