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A late goal from Kevin Grosskreutz gave Borussia Dortmund a 2-1 win at the Stade Velodrome on Wednesday, a result that ensured Marseille finished this season's Group F pointless, while the German side progressed as group winners.
Dortmund's winner came after Souleymane Diawara had cancelled out Robert Lewandowski's fourth-minute opener.
"What changed tonight compared to the other games is the state of mind," Anigo told Canal +.
"When they decide to give it their all, it is a different game.
"At ten against 11, it became very complicated.
"But there is nothing to be ashamed of because we gave everything."
