Oblak was outstanding for the visitors, while an error from Liverpool keeper Adrian let Atletico in to eventually win the second-leg 3-2.
Van Dijk said: “The thing is, when you concede that one, it is not a nice feeling.
“We know that we are going to create chances again [but] the second one killed everything.
“We tried everything and I think the difference was their goalkeeper today. He was outstanding.
“He saved them, plenty of times today. Maybe three or four big, big saves that I can remember off the top of my head. We tried everything, that was the main thing."