Manu Garcia scored in the final minute of stoppage time to claim a famous win for high-flying Alaves, who are now level on 14 points with Madrid.
Los Blancos have now gone three LaLiga games without scoring for the first time since May 2002, while it is four straight blanks in all competitions for the first time since 1985.
But despite their woeful run, Lopetegui is confident his side will recapture their form soon enough.
"A coach does not think about it," Lopetegui told a news conference.
"Obviously, peace of mind would come with a goal.
"Logically, we are disappointed. We wanted to win. I think we started the game quite well, which is what we wanted, but the fact we have not scored has punished us.
"I also tell you that defeat is an excessive punishment. We have to try to recover, we have had many misfortunes. Today we had two players who were injured. We know we are not in a good moment, but we are in the month of October and we want to return as quickly as possible to win.
"A coach always expects the best from his team and the players. But I have no doubt that they try to give their best, I think they have come out with a very good attitude."
Madrid will look to bounce back when they take on Levante after the international break.