Bayern won the first-leg of their quarterfinal 2-1 in Madrid, with Diaz opening the scoring.
The Colombia international said afterwards: "This was a testing match. Madrid are strong, at home.
"We had a good game plan and executed it pretty well, especially in the first half. Both sides had more scoring chances and if we'd tucked one of ours away we'd have headed home feeling much more comfortable about our advantage.
"We need to pay full attention and be super-ready for what's to come next week."
Diaz also stated: "This was just the result we wanted but we go away with a bittersweet feeling that we could have scored at least once more.
"We had chances to put the tie firmly in our control. Now we need to look at what we did badly and correct that."