Atletico won on penalties after Depay struck to bring the round 16 aggregate score to 2-2 late in normal time.
Koke said: "The introduction of Memphis (Depay) changed the game and then we have one of the best goalkeepers if not the best in the world, and he has demonstrated that today.
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"When we all show this attitude, this intensity, this concentration, we are a completely different team than what we have seen in recent games especially the ones away from home. I hope we can continue to reach this level of football that we are showing here at home.
"There are a lot of things to improve, but tonight is a night to enjoy because we have produced a great performance against a very difficult side."