The French club were no match for Borussia Dortmund, as last season's finalists thrashed Marseille 3-0 at the Westfalenstadion on Tuesday.
It follows Marseille's first-up defeat to Arsenal and with back-to-back clashes against Napoli to come later this month, things are not about to get any easier for Baup's side.
While admitting Dortmund were worthy winners, the Marseille boss felt the final scoreline was harsh on his side.
"We knew how good our opponents were – they (Dortmund) beat Real Madrid 4-0 in May on the same pitch," a disappointed Baup said.
"We wanted to play our game but 3-0 is still harsh.
"We knew it would be difficult from the moment the draw was made. Arsenal always advance, Borussia Dortmund were runners-up last year and Napoli have built a good team.
"This is an incredible draw – it is the most difficult section."
Marseille were content to sit back and try and absorb the pressure but were undone by a classic counter-attack goal by Robert Lewandowski on 19 minutes to open the scoring.
A Marco Reus free-kick just after the break doubled the home side's lead before Lewandowski scored his second 10 minutes from time from the penalty spot.
"We aim to be brave in taking our chances and, above all, to try to improve," Baup said.
"We should learn from such games for the league but also to come back stronger in Europe.
"On the plus side, our first half was good as we had more possession than Dortmund.
"Their second goal, from a free-kick, was a bit weird. All those things make the difference."
