The Argentina international gave the Blancos a 1-0 lead in the opening 45 minutes, but goals from Juan Valera and Abdel Barrada eventually helped the minnows to a surprise win.
"The coach is completely right by saying that we didn't deserve to win. This was not the game we were hoping for. We should have killed off the game while we were ahead," Higuain stated to reporters.
"We have already shown in the past that we can turn things around, though. We have to get some rest now and look ahead to the future.
"We have to show on Wednesday that we are a great team. We have to bounce back against Barcelona. It will be a completely different game. We have to stay calm, because a win will probably give us our first title of the season."
Madrid were beaten 3-2 at Camp Nou in the first leg last week. The return at the Santiago Bernabeu kicks off at 22:30CET.