The Spanish giants looked to be on their way to a comfortable win but Mark van Bommel's late strike may prove to be decisive in the second-leg at Allianz Arena.
"The team played well in both halves, but these things happen in football," Capello told the post-match press conference.
Real went to the lockers room 3-1 up thanks to a brace from skipper Raul and another from Ruud van Nistelrooy but Bayern dominated the second-half and succeeded in grabbing a precious goal.
"A team that wins 3-1 normally doesn't want to throw away that advantage by risking too much and we were possibly blocked by that fear," the Italian tactician said.
"It's hard to explain, but you know when you're in that situation. Maybe it's psychological."
The Italian tactician was full of praise for David Beckham after his impressive display and brilliant set-pieces contributed heavily to Los Meringues' victory.
"I liked Beckham's output tonight. He performed excellently. I didn't like that he was sent off last Saturday, but he played a good game today."
On the other hand, Bayern boss Ottmar Hitzfeld believes Bayern must build on their show in the second-half if they are to secure their place in the competition's last eight.
"We've taken the first step. Now we have to take the second at home. Our late goal to make it 3-2 was crucially important."
"We can pick up on our improved display in the second half, we have a good chance of making the quarter-finals."