Bale, playing his first game in England since his £85m move from Tottenham in 2013, could not provide the spark in Cristiano Ronaldo’s absence on Tuesday.
But he is upbeat about Real’s chances of making the Milan finale on 28 May.
“We go back to the Bernabeu now very confident,” said the 26-year-old.
“We looked solid, we looked a threat on the counter and we were unlucky maybe not to get the goal and a few penalties.
“It was a little bit frustrating not to be able to score, but we got a clean sheet.
“Obviously we’d loved to have scored a goal, but it is not a bad result.
“We go to the Bernabeu where we have a great record, where we score a lot of goals, very confident and we are looking forward to it.”
Spanish giants Real are 10-time European champions and go into the home leg on Wednesday, 4 May in a far better position than they did in the quarter-finals, when Wolfsburg inflicted a shock 2-0 first-leg defeat in Germany.
However, Zinedine Zidane’s side rallied rather than wilted on that occasion and progressed thanks to a 3-0 triumph in the second leg.
Real are yet to concede a goal at home in the Champions League this season and Bale says his team will take the game to Manchester City when they visit the Spanish capital.
“Of course you have to play it carefully, but ultimately when we’re at home we attack a lot,” he said.
“We’ll try to keep it defensively tight as well so it will obviously be a difficult game at home, we know that.
“I think both teams are evenly matched [but] we’re very confident at home.
“We know it’ll be a difficult game, but we will be going all out to try and win it.”