The Chelsea striker made it five Spain matches without a goal as La Roja lost 1-0 to France on Wednesday.
Vicente del Bosque conceded Diego Costa still has to connect with his teammates better as Spain's attack remains a work in progress.
Costa has enjoyed a prolific start to the season following his big-money move to Chelsea, but the former Atletico Madrid striker made it five caps without a goal since switching allegiance from Brazil as Spain went down to a 1-0 friendly loss against France.
Spain endured a chastening World Cup defense earlier this year and made a tentative start to life without international retirees Xavi, Xabi Alonso and David Villa in Paris.
Costa cut an isolated figure amid disjointed attacking displays in Brazil and it was a similar story despite his inclusion in a much-changed XI at the Stade de France.
"There were some positive things and we played well, particularly in the first half," Del Bosque told reporters after the match.
"We must connect more with Diego Costa, understand him more, but little by little we are improving."
Del Bosque's selection of Manchester United goalkeeper David de Gea ahead of Iker Casillas raised eyebrows in some quarters, but the 63-year-old refused to be drawn on who would be his No. 1 for Monday's opening Euro 2016 qualifier against Macedonia.
"David did well and we need to see him in a big game. But we'll see on Monday," he added.
"We have a very important match coming up and will try to take the three points. We will be more offensive."