I just watched the match again, and honestly, not that worried. The first 55-60 min, they were dangerous, but all the chances they created except for one came from a bad pass or mistake in our own half or very close to. If we lose the ball there, it is our mistake and we will always be 3v3 or something like that in that area. Once we managed that, they didn't have any clear chance (Valverde's goal is just a great goal, not a clear chance).
I know people will think that we lost the ball because they pressed a lot and well, but I don't think they did. I genuinely think most our players had a bad day and maybe a little nervous. Their press is not as intense as Arsenal, Liverpool or Tottenham, and we didn't lose the ball against them that much.
I really think we are huge favorites, but it is Madrid, and with them you just never know.