Ronaldo left the Bernabeu last summer, making an £88million switch to Juventus.
That came just weeks after he helped Los Blancos to a third successive Champions League trophy.
The La Liga giants beat Liverpool 3-1 in the final after two howlers from goalkeeper Loris Karius.
There had been plenty of talk surrounding Ronaldo’s future following the World Cup, with his move confirmed in July.
But Marcelo has revealed that the Portugal star knew he was departing Real Madrid before the Champions League showdown with Liverpool.
“Damn, we were training for the final and he told me: ‘I’m leaving,'” Marcelo said.
“Yes, I had to lie [that I didn’t know at the time].”
Ronaldo had scored a stunning overhead kick against Juventus on the way to winning last year’s Champions League.
And he revealed the ovation he received for that goal played a key part in deciding where his future lay.
“I felt surprised at the beginning,” former Manchester United ace Ronaldo said.
“I am used to following Juve and I like the club, but since that moment I liked them even more.
“I won’t say it was the key point in my decision, but every detail helps. Maybe.
“Of course, it helps when you see the people like you, the supporters and club like you, the feeling is completely different.
“Unbelievable. I remember every day, that never happened to me before.
“In the Champions League against Juve, a quarter-final, you score a goal and see everyone in the stadium applaud you. It was an unbelievable feeling.
“I don’t have a precise moment when I decided [to join]. During the years, we played a few times against Juve and I had a special feeling that the Italian supporters like Cristiano.”