Holders Bayern trailed 1-0 from last week's semi-final first leg, and never looked mounting a comeback at home on Tuesday as they were outclassed by a rampant Real side, who eased to a 4-0 win on the night to claim a place in the final with a comprehensive 5-0 aggregate victory.
Braces from defender Sergio Ramos and forward Cristiano Ronaldo ensured Real's spot in next month's showpiece in Lisbon, ending Bayern's hopes of becoming the first team to retain the Champions League.
And captain Lahm accepted that Bayern did not do enough to keep their hopes of winning a second successive treble alive.
"It's a big disappointment because we wanted to do more," Lahm told Sky Deutschland. "After 20 minutes the score is 0-2 because of two set pieces - that's harsh and disappointing.
"We don't think only about the set pieces, we think about everything. That's normal. You question everything.
"I think that we didn't do well tactically in the first half because it was an open match. It was the opposite of the first leg because back then we controlled the match.
"Today it all went up and down the pitch in the first half. That's not our style of play. That's the style Real likes to play."
