Real must bounce back against Real Valladolid today to maintain their Liga leadership.
"Wednesday was tough and I couldn't sleep after the match," Albiol told the club's official website. "But you have to get up the following day and train hard for Sunday's match. We have no choice but to focus on La Liga.
"We've worked very hard to give up now. We'll have to give our all on Sunday. I only think about the league now. It's all there's left for us.
"We missed many chances in the first half of our game against Lyon. We gave them room to breathe in the second half and they used it. They were more efficient in attack than us. They grabbed their chance and knocked us out.
"Our game broke down slightly in the second half. There were more individual efforts. That was because the team wasn't working well collectively, not because some players preferred to try things on their own.
"We all get along very well and we will prove it. Hard times show if players form a proper team or not.
"It's normal for us to be sad because we were excited about playing the final at the Bernabeu. It was a hard blow.
"We must now be intelligent and realise we've been working hard to win the league title since August. It is a very tight competition and we can't throw all that away now. We have to prove we are united and capable of winning the title."