The La Liga side were 3-0 up after the first leg of their Champions League quarter-final, but a first-half brace from Marco Reus brought the German side back into the tie.
The goalkeeper told reporters: "The first goal we conceded was from our mistake and the second came from another error in midfield. We also missed a penalty. The good thing was that we then knew how to deal with being under pressure.
"Maybe it's good for us to receive a wake-up call like that from time to time. It's better that it came tonight and not in the upcoming games we have."
Real held on to secure a 3-2 win on aggregate, confirming their place in Friday's semi-final draw.