Zidane made seven alterations to his starting XI following the 2-2 draw against Barcelona in El Clasico on Sunday, with injuries, suspensions and a desire to rotate seeing an unfamiliar team named at the Ramon Sanchez Pizjuan.
Cristiano Ronaldo, Isco and Dani Carvajal all missed out through injury, Gareth Bale was suspended and Toni Kroos, Luka Modric, Keylor Navas and Marcelo were rested.
Madrid were two down at half-time thanks to efforts from Wissam Ben Yedder and Miguel Layun, before Sergio Ramos missed a penalty and scored an own goal to make it 3-0.
Borja Mayoral pulled one back, before Ramos converted his second penalty of the match in stoppage time, but they left their fightback too late and Zidane was forced to defend his line-up.
"We have many games and some have to rest," Zidane told reporters. "We have a final [of the Champions League] on May 26 and I don't care what people think [about rotating]; I am the coach and I decide.
"When you look at the team we have put out, I think it's a team that could win.
"When you lose, you cannot be happy, but it will not affect what we do until the end of the season.
"We were good in first three quarters of the pitch, but we did nothing in the last 30 metres, nothing on the second line, nothing to worry the opponent.
"We had a better second half, making chances, more mobility, but they got a third goal that got us out of the game. We scored two goals, but we deserved the defeat."