What unbeaten run? After more than eight months without defeat in all competitions, Real Madrid have suffered back-to-back defeats in the space of just four days and their Copa del Rey hopes hang in the balance following the 2-1 loss to Celta Vigo on Wednesday. How quickly things can change.
Madrid saw their 40-match unbeaten streak come to an end with a last-gasp loss at Sevilla on Sunday in La Liga. There was an element of bad luck about that one, a game in which Real had played well and dominated right until the end.
But just as Los Blancos had been fortunate in some of their wins and draws along the way to their Spanish-record run, so their luck ran out on Sunday. And it was more of the same on Wednesday - a game they will have been expected to win quite comfortably.
Celta are a strong side though and Eduardo Berizzo's men had given Madrid a tough game at the Santiago Bernabeu back in September, when Real prevailed thanks to a late winner by Toni Kroos.
Zidane's side dominated from the outset this time but had little to show for all their possession, with Cristiano Ronaldo particularly poor in his first Copa start for two whole years on a freezing night at the Bernabeu.
The Portuguese appealed for a penalty in the first half, but the action did not really seem to merit a spot-kick. Otherwise he was a peripheral figure and appeared to lack match fitness, as he had at the Sanchez Pizjuan on Sunday.
On this form, he can be frustrating for his team-mates as well, always looking for the chance to shoot himself and only giving the ball to a colleague when he has realised that there is no other option. Often, by then, it is too late.
Ronaldo remains an important player for Real and his goals are fundamental for this team. However, when he is lacking form and fitness he can be a liability at times. And Wednesday night was one of those evenings.
Little had happened of note in the opening hour, but the match sprung into life when Iago Aspas fired Celta in front, after Marcelo had cleared the ball back into his path with a flick that would have been brilliant at the other end of the pitch.
Marcelo made amends moments later with a lovely volley to make it 1-1, but Celta hit back straight away through Jonny and this time Madrid were unable to find a response, although substitute Karim Benzema blazed over the bar from close range when he really should have scored.
So after 40 unbeaten, two defeats in a row; and Zidane knew this moment could arrive. "We played well at Sevilla," he said. "Today we were a bit worse, but there is no reason to be worried."
There shouldn't be. Madrid have not become a bad team overnight and can still go on to enjoy a spectacular season, but their Copa future is up in the air ahead of a tough return at Balaidos next week and unless they beat Malaga in La Liga at home on Saturday, some of their great work will have been undone.