The defender was an unused substitute in Saturday's UEFA Champions League final as Dortmund lost 2-1 to Bundesliga rivals Bayern Munich.
He has congratulated Bayern on a deserved victory but insists Dortmund can be proud of their efforts after a wonderful European campaign.
"We have no reason to be sorry about this defeat," he told ESPN Brasil.
"We had many adventures along the way and we felt we could have won, but the best team won, the team that knew how to execute their chances, Bayern Munich."
Santana also insists that he will depart with his head held high after seeing Dortmund progress during his five years with the club, although it has not yet been confirmed where he will be going.
He said: "Negotiations are underway but I haven't decided yet. But surely next season I will watch Dortmund on television.
"Those were five golden years. I came to a team that were resurrecting in German football and I am now leaving through the front door."