Cristiano Ronaldo salvaged a 1-1 draw three minutes from time after Inaki Williams gave Athletic a first-half lead at the Santiago Bernabeu.
Zinedine Zidane's side are next in action when they travel to the Allianz Arena in seven days' time and Spain international Vazquez does not expect Madrid's latest frustrating outing domestically to have any effect upon their bid for a third consecutive European title.
"Of course we are thinking about that game but we do not have a single doubt," he said. "We are not worried, we are very confident.
"We have got to work all week because we want to win over there. I think we are on a good track."
Raul Garcia struck the crossbar for Athletic after half-time as Madrid's earlier momentum waned but Lucas insisted a draw was the least they deserved for their efforts.
"It's a kind of bittersweet feeling at the end of that game because we played really well and I think we dominated the game throughout," he added, with Madrid facing the prospect of falling six points behind neighbours Atletico in second if their neighbours are able to overcome Real Sociedad on Thursday.
"They defended well, we had a lot of chances throughout and couldn't find the back of the net. We struggled in the second half a little bit more."
Williams hailed the advice of veteran team-mate Aritz Aduriz after cutely dinking home his third goal in Athletic's past six matches in all competitions.
"It was a very quick move," he said of the goal.
"The team know I like to find the space in behind the defence. Aritz always tells me you've got to clip it over the goalkeeper and that's what I did."