PSG set up a clash with Arsenal in the final with a 1-1 draw in the second leg at Bayern, sealing a 6-5 aggregate victory.
Bayern have scored an incredible 175 goals in all competitions this season but were unable to break through until stoppage time, when Harry Kane grabbed an equaliser.
“We didn’t have big chances today, but we still created enough to score. We missed the killer mentality that PSG had to score the goals,” Neuer said to DAZN.
“We were close to the final but couldn’t take the next step. Our goal came too late.”
England captain Kane’s goal, in the fourth added minute, came too late to give the hosts hope of scoring another to force extra time.
“Our goal, unfortunately, came a bit too late. We didn’t have time to create another chance or maybe even get a set-piece,” Neuer said.
“At that point it was too late.”
Bayern are through to the German Cup final and have already won the Bundesliga, but Neuer admitted “right now, disappointment prevails”.
Speaking with German TV, Bayern coach Vincent Kompany agreed with his captain, but said he would take motivation from the defeat.
“I don’t have the ability to stay disappointed for long. Of course, in the end we lost two very, very tight games against a very good opponent. It’s bitter.
“We needed to be more decisive. Congratulations to PSG. The Champions League is over for us this season, but there will be another chance – and that’s a motivation for me.
“We have played Paris five times – we have won twice, lost twice and drawn once, which was today. We tried everything, that also has to be said.”
The defeat ended six-time Champions League winners Bayern’s hopes of returning to the final for the first time since 2020, when they beat PSG 1-0.
The German giants have now not made it through a two-legged semi-final since 2013, with their last triumph coming during the Covid-hit 2019/20 season in which the quarter-finals and semi-finals were single-leg ties.
