Despite leading Borussia Dortmund 3-0 ahead of the second leg, Madrid were made to worry as they suffered a 2-0 defeat in Germany to edge through on aggregate, and Ancelotti conceded that it was a frustrating night for the visitors.
"All games at this stage are very difficult," the Italian told members of the media. "We are fortunate to be through to the semi-finals.
"We're happy to reach the semis, but not happy as we suffered a lot. Especially in the first half. We opened the tie up again.
"We were better in the second half. Football is like that, we gave away gifts, made lots of errors, we had no confidence and we suffered because of it."
Madrid's semi-final opponents will be revealed on Friday.