The defeat for los Blancos comes a week after the 1-1 draw with Valencia at the Santiago Bernabeu and coach Jose Mourinho was quick to criticise his team in the wake of the match.
And the club's captain has accepted that his team-mates must improve in the coming matches, but remains confident that they can turn things around.
"To be five points off the top is not a good start," he was quoted as saying by ESPN.
"Nobody expected this, we have to look at what we are not doing well. We did not know how to defend. We cannot allow it because it is costing us points and games.
"There are collective and individual errors. I agree with the boss. Last season we had two stumbles in a row and we lifted ourselves back up."
Madrid entertain Liga leaders Barcelona on Wednesday for the second leg of the Spanish Supercopa, which they trail 3-2.