The surprise victory for Manuel Pellegrini’s side came courtesy of one goal from Isco and two from on-loan Manchester City striker Roque Santa Cruz, with an own goal by Sergio Sanchez and a Karim Benzema strike not being enough for Jose Mourinho’s men.
However, Jose Mourinho dropping Casillas to the bench in favour of back-up keeper Antonio Adan was a major talking point after the game, and Ramos has conceded that he was puzzled by the decision.
"It is true that this is neither normal nor usual with Iker on the bench," he told reporters after the match. "But we [the players] have nothing to say. It has been a big surprise for us as well.
"It is not our decision it is the coach’s decision. It is not usual, and obviously it is a surprise. He is our captain as well is he the leader in the dressing room, so it is tough to play without such a key player.
"As I have said, it's a big surprise, but it is not our case, and I will not get involved in anything, because I'm not in bad standing with anyone."
The defeat at La Rosaleda leaves Madrid 16 points behind leaders Barcelona going into the winter break and Ramos accepted it is unlikely that they can retain their Spanish league title this season..
The defender added: "We still need to play half of the 2012-2013 season, but it's true that it looks very complicated [winning La Liga]. The team has been fine, but we have probably just not had the luck that we have had in other seasons.
"In the first half today against Malaga we had chances to score goals, but we did not manage to do so. We just have to stick together.
"It looks very complicated in this season, but there is still much of the season to play."