Madrid were happy to cede possession to FC Bayern Munich for large parts of the game at the Bernabeu, but were resilient in defence and struck the decisive blow when Karim Benzema rounded off a swift break with the only goal after 19 minutes.
"We could not stop all of Real's quick breaks," Lahm told German broadcaster ZDF.
"They are top team. It is impossible not to let them have at least one chance. We played to win we wanted a goal. Now we are trailing by one goal but it is not over yet.
"We wanted to do it better no question, but it is not that easy. We now play at home everything is possible at the Allianz Arena. We have shown we can turn games around and anything can happen."
FC Bayern Munich looked short of ideas in attack as they sort to find a route through the ranks of Madrid defenders and now face a tricky task at home, where a solitary Real goal would leave them needing to score three.
FC Bayern Munich goalkeeper Manuel Neuer said Real's attacking players were always likely to pose a threat on the break and the German side would now have to figure out how to stop them putting in a repeat performance in Munich.
"We had problems today," he said. "We worked well but these are world-class players.
"When someone is as quick as (Gareth) Bale or (Cristiano)Ronaldo then you will always have problems with the counter- attacks. We can expect a similar game in Germany. We will try not to concede a goal in Munich. Everything can happen. We need to remain focused and not allow any quick breaks."
FC Bayern Munich coach Pep Guardiola put the defeat down to poor finishing.
"I am proud of my team," he said. "They fought well against a tough opponent, one of the best in the world. We had a good game and I hope we will improve further next week.
"I did not want to have the typical German game of back and forth. I wanted a lot of possession and we managed that in part. But we did not finish our chances well."