A 4-0 defeat to Madrid at the Allianz Arena on Tuesday night condemned the defending champions to a 5-0 aggregate loss, and Lahm was unable to put a positive spin on events when speaking after the final whistle.
"The disappointment is huge," the 30-year-old told reporters. "We wanted it a lot but then we were 2-0 down after 20 minutes thanks to two set pieces.
"This is incredibly bitter and disappointing. We believe it's better to go for zonal marking at set pieces. We went down early again, then it was 2-0. We did not play well tactically, we had an open game way too early.
"While we controlled the first leg, we gave them an end-to-end game today, that's not our way of playing. They like it though."
Real will face either Atletico Madrid or Chelsea in the final, with the second leg of their semi-final taking place on Wednesday.