Dani Carvajal described Real Madrid's Champions League exit as the end of a "s*** season" but insists this team will challenge again.

After winning Europe's elite club competition in three consecutive seasons under Zinedine Zidane, Madrid fell at the last-16 stage on Tuesday as Ajax ran riot at the Santiago Bernabeu, winning 4-1 to seal a 5-3 aggregate triumph.

That defeat was Madrid's fourth at home in succession, with the prior two coming at the hands of bitter rivals Barcelona last week.

And having exited the Copa del Rey, fallen 12 points behind in LaLiga and crashed out of the Champions League, Carvajal was ready to call time on the 2018-19 campaign.

But he is confident Madrid will be back, even as speculation persists that Marcelo and Gareth Bale will follow Cristiano Ronaldo and Zidane out of the club.

"I don't think I've ever had this feeling of discomfort," Carvajal told Movistar Plus at full-time. "I do not know how to explain it.

"In one week, our season has finished, everyone went home. We do not have to look for excuses tonight, our opponent was better and deserved to go through.

"It's never easy to come from two defeats against Barcelona. Today, we came with a clear mind of wanting to win, but two errors put us 2-0 down. The start of the second half was good but 3-0 killed us.

"I do not see the end of the cycle, though. We have a young team and there is huge margin for improvement. We have to front up and not hide; we have had a s*** season."