The defending Bundesliga champions crashed to a 1-0 defeat in the first leg at the Vicente Calderon on Wednesday courtesy of a solo effort from Saul Niguez.
The Spain Under-21 international glided past several Bayern played before curling a perfect shot past Neuer in the first half.
However, Neuer was pleased with Bayern's response after the break and believes they can still make next month's final in Milan.
"We believe we can make the final, we will give it our all in front of our own supporters," the Germany international said.
"We put in a good performance but in the first half we lacked a bit of courage and aggressiveness. In the second we were much better.
"It's a pity that we didn't get rewarded in the second half because we tried everything.
"In Munich we have to be very awake."
Bayern's Philipp Lahm was disappointed the side could not find a vital away goal.
"It annoys us that we did not score away from home, we had a lot of opportunities," he said.
"But we have all the options to turn this game around at home."