Arturo Vidal was controversially sent off late in the second-half of Bayern's 4-2 extra-time loss to Los Blancos who won the tie 6-3 on aggregate courtesy of Cristiano Ronaldo's late hat-trick in the Spanish capital on Wednesday (AEST).
Madrid also benefited from a number of favourable offside calls as the Portugal captain completed his three-goal haul in extra time.
Asked if Bayern were robbed after the match, Robben was diplomatic but ultimately agreed with the suggestion.
"Yeah, you know in my opinion it's a shame because you see such a great game," said to Viasat.
"Everyone in the world saw two great teams against each other with great players on the pitch.
"It was a joy to watch. Then a game like that is being decided by the crucial decisions of a referee. I don't like talking about referees but you always have to look at yourself and the mistakes you make or what you have done wrong. In this case, it wasn't one, it's more and crucial decisions decide games.
"It was a great advertisement for football and then it's being decided by someone with a whistle."