Los Blancos were beaten on the night in Germany, but still advanced into the semi-finals due to an aggregate score of 3-2.
Dortmund had a number of chances to level the tie in the second period, but found Madrid's Spanish stopper in inspired form.
"He made some fantastic saves at vital moments in the game. He had a great game. His impact on the game was huge," he told AS.
Diego Lopez is expected to return to the Madrid goal for the league clash with Almeria at the weekend.