Fernandinho clipped the post in a rare City chance, but Real dominated as Bale hit the bar and Joe Hart saved from Luka Modric and Cristiano Ronaldo. Real saw out the win to meet Atletico Madrid in the final later this month.
Manchester City's hold on the Champions League was wrestled away by Real Madrid as they were beaten on penalties in a dramatic quarter-final at Etihad Stadium.
Shakhtar Donetsk beat Real Madrid for the second time this season, this time on home soil thanks to two second half goals from Dentinho and Manor Solomon.
Substitute Martinez sealed the win for Inter from the spot five minutes from the end of the game after Simone Inzaghi's men were awarded a penalty for a handball.
The Frenchman saw his men score five goals for the second game running since he took over from Rafael Benitez, although injuries to Gareth Bale and Karim Benzema might dampen his joy.
Costa had a hat-trick by halftime and added one more goal before he was sent off in the 63rd, when both teams were reduced to 10 men after a testy shoving match.
Belgium international Lukaku, who arrived from Everton for a reported £75million, opened his account in the 2-1 friendly win over Real Salt Lake on Monday.
Whether we like it or not, there are evil and wicked men in the world, who just want to do the bidding of their Father, the devil; which is 'to kill, steal and destroy'.
The medical staff were rather less busy in the second half and that allowed Liverpool to increase the pressure, generally dominating against a United effectively playing with 10 men due to Marcus Rashford struggling with a knock.