However, he admits the Spanish champions are in great shape after seeing off his old club Manchester United.
Ronaldo had mixed emotions after scoring the winner for Real at Old Trafford in a 2-1 victory, and it capped off an incredible week which saw Jose Mourinho's side also triumph twice over domestic rivals Barcelona.
The Spanish champions are now into the quarter-finals of the Champions League, and Ronaldo told reporters: "We have a long way to go, we've beaten one of the best teams in the world in Man U.
"So we have a long way to go and will go step by step but we are in a good shape.
"This week was unbelievable with two wins against Barcelona and now Manchester United. It was fantastic for us."
The Portuguese winger paid tribute to the reception he received from the United fans on his first return to the club since leaving Old Trafford in 2009.
He added: "It was an unbelievable night, a very emotional night. What the supporters did with me was massive - I am never going to forget this moment. The only word to describe it is unbelievable.
"On the one side I feel happy for Madrid to go through to the next round, the other side I feel a little bit sad because it is not easy to forget this home.
"I played six years here and the people were very nice to me and I came here like a child. The feeling was strange - it was not just this game but the first game too; I felt a little bit shy in my game.
"But I'm happy because Madrid got through. I defend my colours and I play for Madrid and I try to do my best all the time."
Ronaldo went to speak to the distraught United players after the match and made special mention of 39-year-old Ryan Giggs, for whom it was his 1,000th professional game.
"I went into the dressing room to speak to all the players, the coach, the president, to the Glazers," said Ronaldo.
"I spoke with Giggsy and he's an incredible player, still fit and still playing in these kind of games. He is the flag of this club and I'm happy for him. I think he's going to finish when he's 50!"
Ronaldo said he had not seen the incident which saw Nani controversially sent off for a chest-high challenge - a decision which changed the game in Real's favour.
"I didn't see it," he said. "Things happen in football, sometimes the referee makes good decisions, sometimes wrong decisions, it's part of the game."
Meanwhile, Xabi Alonso, Madrid's former Liverpool midfielder, hailed the win as a "massive step" for Mourinho's men, with Real now strong favourites to go all the way to the final in Wembley.
He said: "We knew it was going to be a massive night for both sides - make or break for one of us. Happily we have gone through.
"Credit to United - they pushed really hard even with 10 players. It was a great atmosphere, a great night and now we're through we're really delighted.
"It was a massive step that we've taken. It was a key week for us - this is what we wanted but there's still a long way to go."