After Conor Gallagher struck for Atleti in the first minute, the round of 16 second-leg went to penalties with the aggregate score locked at 2-2 after extra-time.
The key moment in the shootout was a slip by Julian Alvarez, who was deemed to have touched the ball twice by VAR as he converted. As such, the penalty was ruled out.
Afterwards, Oblak lamented: "We're desperate, it's obviously hard to accept, but that's football, that's life, and the season is still here, and we have to pick ourselves up. Don't dwell too much on what happened because it's hard, but in a few days, another game awaits us.
"It's a shame because the ball would have gone in anyway. That's the luck we haven't had, and they certainly have. As I said, unfortunately, we didn't succeed.
"Fair or unfair, it doesn't matter much. We did everything we could. We played a good game, we wanted to win, we wanted to come back, but in the end we didn't manage it. Whether it's fair or unfair doesn't matter much. We gave everything on the pitch, and unfortunately, we didn't achieve it."