Real managed to see off Sporting Lisbon in their opening group game before staging a late comeback to win 2-1.
Ronaldo said: "Sporting played really well and made things tough for us.
"But Madrid have made history with their fightbacks in this legendary stadium. But this was a warning that we can't be so soft or we'll be dominated. We want to be first in the group."
On scoring against his old club, Ronaldo added: "Instinctively I was going to celebrate it, but [Sporting] is the team that made me, and I couldn't do it."