The German giants were eliminated from the Champions League at the hands of PSG, losing 6-5 on aggregate.
Ousmane Dembele opened the scoring after just four minutes, but despite Harry Kane’s late equaliser, Bayern were unable to overcome PSG’s lead.
Speaking to DAZN after the game, Neuer, 40, admitted that his side lacked a “killer instinct” during the second leg.
"I think we didn't have the killer instinct in attack today, but ultimately we did have the opportunities to win the game,” he said.
"We didn’t have many clear-cut chances, but when you do get those moments... look at Paris – they were simply killers, scoring five goals the way they did in the first leg.
“That’s exactly what we needed today. And I think you could see that we were actually close to reaching the final, but we weren’t able to finish the job."