An 87th-minute counter-attack saw Villarreal silence the Santiago Bernabeu as the visitors claimed a remarkable last-gasp 1-0 La Liga victory Saturday.
Madrid – fourth in the table – have only won once in their past five games as they face the prospect of falling 19 points behind runaway leaders and bitter rivals Barcelona.
"It's very difficult for the confidence," said head coach Zidane, who guided Madrid to UEFA Super Cup, Supercopa de Espana and Club World Cup glory earlier in the season.
"We had chances to score but in the end... we couldn't avoid the counter and... it's just very f****** up for all the players.
"What we have to do is keep working, because there will come a time and we have to be there.
"Within all the negative things that are happening to us, we are going to look for something positive."
While retaining La Liga is all but over, Madrid's grip on the fourth and final Champions League spot is slipping with Villarreal just a point behind in fifth.
"We have to get a win from somewhere," the under-fire Frenchman added.
"We know the situation and every day it gets more complicated, so we are not even thinking about the League, just about the next match."
Zidane's side won't get much time to recover either.