"We made some improvements but we still made mistakes," UEFA.com quotes him as saying after the match.
"We have a good team who were able to score two goals in Naples – but things keep going against us.
"We knew it would be hard and we gave our best. Now I must concentrate on working to continue to improve the situation. This squad does not give up."
However, Baup added that his players should not feel ashamed at having lost all four of their group games so far because of the quality of opponents they have faced.
"Tonight there were some interesting things in the game," he said. "But we must be clear about the level of the teams we have played.
"These are teams aiming for the quarter-finals and there is one of them who will go out. From the beginning we knew this was a really tough draw and we tried to give a good account of ourselves. Tonight was a much better game than we managed at home."
Marseille are currently fifth in Ligue 1, 10 points behind leaders Paris Saint-Germain.