The German club scored twice in injury time to bag the victory in the second leg of their quarter-final tie and progress to the semi-finals, having held Malaga to a goalless draw in the first leg in Spain last week.
"We're still trying to come to terms with what happened," he told reporters. "We were four minutes away from the semis. There is huge disappointment in the dressing room.
"We had the tie in our hands. Dortmund started firing long balls into our box in the final minutes. They tried everything and in the end, were very lucky.
"It's such a pity to lose like this especially as every one of us put in a huge effort. Our supporters saw a great game and a great performance from their team. I am sure the fans are as devastated as we are; they understand what we are going through."