Alvaro Morata and Carlos Tevez scored for Juventus in the first leg in Turin, while Cristiano Ronaldo slotted home the only goal for Madrid either side of Juve's efforts.
With Los Blancos looking to retain their Champions League crown, Rodriguez has asserted they have to adopt a no fear mindset if they want to triumph in the second leg and advance to the final.
"Madrid fear no one," he told El Pais. "We respect many teams throughout the world, but we do not fear. We know what Italian teams are like. They defend well and we have to know how to address them. You must deal with it. If we play to our best, then we will be in the final."
Rodriguez added that Madrid cannot keep relying on Ronaldo to bail them out of pressure situations.
Ronaldo has scored an incredible 54 goals in 51 games in all competitions this season, but Rodriguez wants to start contributing himself and increase his goal tally in the process.
"Ronaldo cannot carry Real Madrid alone," he said. "I do what the team needs me to do. I participate in all aspects of the game. The reason you work every day with every effort is to try to learn. We are always learning, always."