Despite the defeat, the young team were widely lauded for a decent performance.
"The team fought, and for long stretches, did very well," trainer Jens Keller said afterwards.
Mentioning keeper Rolf Fährmann's heroic attempts to keep the ball out of Schalke's net, Keller added, "Fährmann again managed to produce a world-class performance."
Tim Hoogland, who put away Schalke's goal in the 31st minute, said afterwards, "We wanted to say farewell properly. We managed to do that. We can close this chapter of the Champions League with our heads held high."
But the goals - although only half as many as in the teams' last fixture, when Madrid won 6:1 three weeks ago - seemed to have left a bad taste for Fährmann.
"The goals were very, very bitter for us. Until then we had played really well. You could see we had showed character."
The reasonable result was at least in part due to Madrid only fielding a B-team, albeit a strengthened one - a much weaker side than had been put up against Schalke in the Veltins Arena three weeks ago.
Madrid's coach Carlo Ancelotti was said to be keeping his attention - and his best players - for the potentially title-decider at the weekend against Barcelona.