After a goalless 120 minutes, Spain clinched their place in the final by winning the shoot-out 4-2 with Ronaldo, apparently having been scheduled to take the fifth penalty, watching on.
The Real Madrid star was not at his best but showed glimpses of form and also missed a great chance to clinch the match for Portugal in the dying moments of normal time.
He said in O Jogo: "It's always painful losing on penalties but penalties are always a lottery and the one who has the best luck wins.
"It was a good Euro. We played the four best teams. We're going out a bit frustrated because we could have gone to the final but we were unlucky.
"I gave my best as I always have done and that's why I'm happy with my own contribution.
"We must be proud because we played well but we didn't have the luck we needed."
Spain coach Vicente Del Bosque has called for one last great effort from his players in the final against either Germany or Italy after Cesc Fabregas tucked away the decisive spot-kick.
Del Bosque told UEFA.com: "The players have played so many matches and they have to show their best in one more. It was a very even match but maybe we were a little better in extra-time."
The match itself failed to live up to expectations with Portugal shading the first period but clear chances few and far between, with Xavi and Andres Iniesta missing the best chances for the favourites.
Ronaldo made little impact though he clearly worried the Spaniards from free-kicks, and almost wrote the headlines in the last minute when he was put through in the left side of the box but wasted his chance.
Spain stepped it up in extra-time and Portugal were grateful to keeper Rui Patricio for sending them to the shoot-out after he got down to make two superb saves from Jordi Alba and Jesus Navas.
When the Portugal keeper saved the opening penalty from Alonso he seemed destined to be the hero, but Iker Casillas responded with an equally fine stop to deny Joao Moutinho with second spot-kick.
Five successful spot-kicks followed before Bruno Alves - who had already walked forward for the previous spot-kick before being pulled back by Nani - took Portugal's fourth and missed.
It left Fabregas to fire the decisive penalty in off the post and profound disappointment for Portugal and in particular Ronaldo, who bafflingly did not take part in the shoot-out.
Portugal coach Paulo Bento said: "I think we were the better team but we couldn't take our chances.
"Spain were stronger in extra-time but we could have won it in the first 90 minutes because we were very good in the first half and at the end of the second half.
"If I had to choose a way of losing I wouldn't choose this one but you have to lose some way, and Spain are a great team."
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