Javier Zanetti said he could not understand how Inter were beaten 3-0 by Udinese on Sunday after putting in what he described as a good performance.
Neither side found the net in the opening hour, but the Zebrette then stormed to victory as Antonio Di Natale scored twice, either side of Luis Muriel's 75th minute strike.
"I don't know how that finished 3-0. We played well up until their first goal, but that's football," Zanetti told Inter Channel.
"You miss at one end, and you're punished at the other. You must never lose focus. However, we did play well for an hour.
"We're gutted but we need to accept the result and show more belief than ever. We must bounce straight back."
Inter resume Serie A action at home against Pescara on January 12 and remain fourth in the Serie A table following their shock defeat.