The Basque side prevailed over Los Blancos at the Estadio Santiago Bernabeu, beating their opponents 4-3 to progress to the semi-finals.
"We tried in the end, [but] we reacted a bit late," Marcelo told DAZN.
"But we have to react like this: run and fight.
"The first half was a bit difficult.
"We had the ball but didn't score.
"In the second [half], we gave everything and did not get [the outcome we wanted].
"Today we have conceded four at home and it was difficult to come back."
Marcelo went on to stress that Real Madrid have the quality to compete for both the Champions League and LaLiga Santander.
"We have a very large squad with top players," he added.
"Real Madrid is like that; we have to win and when you don't, things become more difficult.
"We have two competitions ahead of us and we have to keep going until the end."