The defending European champions were beaten 1-0 at the Bernabeu on Wednesday thanks to Karim Benzema's goal after 19 minutes.
That was enough to hand the Spanish giants the advantage going into next week's second leg at the Allianz Arena, but Robben was not too downbeat after Bayern had dominated possession but failed to take their chances.
The former Real winger expected the hosts to produce a better showing, adding that the tie is far from over.
"I have to compliment my team. We played a world-class team but still we dominated and were the better side," the Dutchman said.
"The result is obviously not great but we have a lot of confidence for the return leg. I expected more from Real Madrid.
"I expected Real Madrid to come storming out of the gates but instead they waited and allowed us to run the game."
Goalkeeper Manuel Neuer, who made his return from a calf injury, echoed Robben's views so far as not giving up on progression to the final.
"Everything is still possible in this tie," he said.
"We expect a similar game in the return leg. We have to keep focussed and take advantage of our opportunities."
