The Red Devils suffered a 1-0 loss at Old Trafford, which leaves without the possibility of winning a trophy for five straight years.
"Of course it's not good enough," De Gea told the club's website. "It's hard for the club, for us and the fans. It's really hard.
"This is where we are at the moment. It's a difficult situation. We have to keep fighting. I feel very sad. But we were not good enough."
On the performance against Atleti, De Gea added: "We are really disappointed with the result. It's difficult to put into words how we feel now at the moment. We did not enough in both games to win it. It's a very disappointing day for us.
"They are a team with a lot of experience. They know how to play those Champions League games.
"They scored a goal then are a tough team so it was hard for us to create chances. We are out of one of the most important competitions so we are very sad."
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