Ronaldo ended up on the losing side in the Champions League semi-finals against Bayern Munich as Madrid lost the shoot-out in the second leg at the Santiago Bernabeu.
The 27-year-old also endured a similar heartbreak in the last four at Euro 2012 this summer when Portugal lost to Spain on penalties.
"It was very hard what I went through last season," Ronaldo told ESPN. "First, with Madrid against Bayern, and then with Portugal at the Euros.
"With Real Madrid, in the semi-finals of the Champions League, I took the first and missed; against Spain I decided to take the last one, but could not.
"For me, penalties ultimately come down to luck. So for me I'd say that it was very unfortunate to have so much bad luck in such a short space of time, and at crucial moments. Everyone will have their own ideas of whether to take the first, the second, or the last, but in the end it is a bit of a lottery."
Ronaldo was instrumental in Madrid's La Liga triumph in 2011-12, scoring 46 goals in 38 matches, and is one of the main candidates for the 2012 FIFA Ballon d'Or award.