The Slovenia international was the undoubted star at the Vicente Calderon on Tuesday, making a string of excellent first-half saves to keep the European champions at bay.
His highlight came as early as the fourth minute, denying Gareth Bale one-on-one, and the likes of Cristiano Ronaldo, James Rodriguez and Toni Kroos were also frustrated by Oblak.
Atletico had few chances of their own, but are now eyeing an away goal in next Wednesday's second leg at Santiago Bernabeu.
"I feel good, like the whole team," Oblak told AS afterwards.
"We worked hard in a tough game. The return leg is next week and we're feeling good.
"Of course you always want to score and win but it's important not to have conceded a goal at home."
When asked if his side would be favourites for the second leg, Oblak responded: "I don't know about favourites.
"Madrid have a great team with a lot of great players. With a 0-0 we'll see what happens.
"Marcelo [who will miss the second leg through suspension] is a very good player but Madrid have options to replace him."
