Los Blancos saw their winless run extended to five games as they lost at the Santiago Bernabeu on Saturday, during which they almost set a new record for the longest goalless run in the club's illustrious history.
Defender Marcelo finally ended the barren stretch at 481 minutes when he found the net with a right-footed shot in the second half, though Levante held on to clinch a famous 2-1 triumph in the Spanish capital.
The result - coming after back-to-back defeats to CSKA Moscow and Deportivo Alaves prior to the international break - leaves Lopetegui facing an uncertain future in his job, though Marcelo feels media speculation over the manager's future is unfair.
"We're with the coach to the death," the Brazil international said after the game.
"He tells us things very clearly. He has a really good relationship with us. It's unfair, as you were with [former boss Rafael] Benitez. I don't like it when the coach isn't allowed to work.
"It's very unfair. The journalists, when they ask, form an opinion. We're worried, the pressure of playing at Madrid is tremendous.
"We have to show our faces on the pitch and in front of the cameras. We're not afraid, but we're worried."
The visitors led 2-0 inside 13 minutes, Jose Luis Morales opening the scoring before Roger Marti converted a penalty, while they had a third disallowed before the break for offside.
Lopetegui sent on Gareth Bale at half-time, but, despite incessant late pressure from the hosts, Madrid were unable to get back on level terms.
"We've done great things. The ball didn't want to go in. The boss wants to regain confidence. We had 33 shots and not one ball went in," Marcelo said of the game.
"We have to hold our heads high to come back to winning games.
"Levante didn't do much. They took advantage of four mistakes and at the start we tried to draw the game, at least. We finished the game dead, because we left everything on the pitch."