The Scottish champions lost 2-0 to their La Liga opponents.
Denis Cheryshev and Ruben Sobrino netted for the away side to put them firmly in control in the tie.
And Rodgers believes his side probably deserved more from the match.
He said: “It was a disappointing game to lose considering we made a good start.
“We were bright, had a good intensity in our pressing and we circulated the ball well.
“At this level you have to concentrate and you can’t put pressure on ourselves. Tonight we put pressure on ourselves.
“But we made too many mistakes, we weren’t creating that passing and it got away from us.
“When you present those chances to a team with that quality they can punish you.
“It’s a disappointing performance in the end. When you make the number of mistakes we made with simple passes you become a wee bit safe. And that was the story of our game, really.
“It’s a big challenge for us but if we get that first goal (next week) it maybe gives us hope in the tie.”
Celtic captain Scott Brown admitted it was a tough night for the team.
He explained: “It was a tough night for us to be honest.
“We tried to play out from the back but our passing wasn’t the best throughout the whole team.
“We will go and try and press them high up the park and force them into making mistakes.
“It just wasn’t meant to be and we will go again next Thursday. We have nothing to lose over there.”
Celtic return to action against Kilmarnock in the Scottish Premier League on Sunday (4pm).