The midfielder felt los Blancos were sluggish in the opening stages of their latest victory but praised Cristiano Ronaldo and Isco for the quality of their goals
Carlo Ancelotti's side fell behind to Lafita's fifth minute strike but struck back through goals from Pepe, Cristiano Ronaldo (2) and Isco.
But though Khedira applauded the quality of los Blancos' goals, the Germany midfielder admitted last season's Liga runners-up cannot afford to start so sluggishly.
He told the club's official website: "We played a great match and got a good result, even though the first 15 minutes were not good. After that we turned the score around and we are very happy. Cristiano Ronaldo and Isco scored two great goals."
The 25-year-old was linked with a summer exit following the departure of Jose Mourinho, with Khedira himself revealing that Manchester United had enquired about his services.
A move failed to materialise, however, with the former Stuttgart man happy at the Santiago Bernabeu and delighted with the competition for places at the club.
He added: "It is very important to for us to have a team in which anyone can play because we have many high-level and high-intensity matches. We have a quality squad and we are all happy."
Khedira was named Germany's ambassador for football for 2013 on Monday in light of his performances and conduct in representing German football over the past year.