The disappointment was palpable for Los Blancos' players, although the good news for them is that they have a chance to bounce back on Wednesday night in the Copa Del Rey when Celta Vigo visit the Bernabeu in the first leg of their quarter final.
The Galicians head to the Spanish capital following a late 1-0 win over Alaves at home on Sunday, a result which underlines how strong they have been in their own stadium this season. Celta have won seven of their last eight league games at the Estadio Balaidos, although on the road their form has been considerably poorer with Eduardo Berizzo's men winning just one of their last 12 away matches in La Liga.
Included in that away run is a 2-1 defeat at the Bernabeu back in August, although they gave Madrid a real scare with Zidane's team only securing a win thanks to a late Toni Kroos goal.
Celta are one of the most exciting teams to watch in La Liga with their games averaging 3.39 goals, although they have not won at the Bernabeu since 2006 and bet365 offer them at 14/1 (15.00) to pull off a shock on Wednesday evening. A draw would also be an excellent result for the visitors and is offered at 7/1 (8.00) while the hosts are priced at 1/7 (1.14) to claim a first leg victory.
In the previous round Zidane chose to rest Cristiano Ronaldo in both legs against Sevilla, while the likes Luka Modric, Dani Carvajal, Karim Benzema and Keylor Navas were also given some time off over the two games.
It remains to be seen how close the Real Madrid starting 11 on Wednesday evening is to Zidane's first choice side, but irrespective of personnel, Los Blancos will feel confident of recording a win. Whether they can do that while keeping a clean sheet is less clear and generally this season (the Madrid Derby notwithstanding), Real Madrid have conceded when playing against the division's better sides.
Barcelona, Sevilla, Villarreal and Athletic Bilbao have all scored against the European champions and Celta have enough firepower to find the back of the net at the Bernabeu if not win. Both teams to score is offered at a healthy 9/10 (1.90) and this selection has paid out in each of the last four meetings between these two sides.