Last season's Bundesliga champions ran out 2-1 victors at Signal Iduna Park on Wednesday night to go top of the group with seven points.
Robert Lewandowski had given the home side a 36th-minute lead, before Ronaldo levelled the scores two minutes later.
However, full-back Marcus Schmelzer was on hand to volley home the winner in the 64th minute.
"You cannot always win," Ronaldo told reporters after the game. "It is not by chance that Borussia are first in the group.
"It only takes a victory for us to be top of the group at the Bernabeu and I am convinced that we will have a good match."
Goalkeeper Iker Casillas does not feel Los Blancos made the most of Ronaldo's leveller.
"The best Dortmund were at the beginning, we have made it 1-0 and then we caught them and we tied them down," he said.
"When it looked like we had control, the second goal came.
"It is true that the second game will be very important and it is vital to get three points and return to the top spot in the group."
Defeat was coupled with the injury to Sami Khedira, who had to be withdrawn after 14 minutes with a thigh problem.
Coach Jose Mourinho said after the game that he does not feel it is serious, but Ronaldo lamented his withdrawal.
"It is sad about Sami, his injury was critical but it can happen in football," he added. "All we have is shame that we cannot count on him during the game."