Iago Aspas and Jonny were on target either side of Marcelo's equaliser at the Santiago Bernabeu as Eduardo Berizzo's men secured a 2-1 first-leg advantage in Wednesday's Copa del Rey quarter-final.
"We played a strange game," he told reporters after a third consecutive game without victory. It is a bad moment, we will not hide this. Two games [lost] in a row, something is happening.
"We must analyse things, look at it now and see what we can do to rapidly change this run. We were playing against very good rival who made it difficult for us. We did not know how to manage properly the game.
"We know what we must do there, there are 90 minutes or maybe more left in the tie. We must play differently, return to playing as we can."
Zidane's men will seek to arrest their mini-slide at home to Malaga this weekend and the former France star wants to see greater intensity in their performance.
"It is good for us to have another game on Saturday. Football is like that, it's a bad moment, but we will come out of it all together," he said.
"We did not play as we had prepared for the game, the intensity was not good at the start.
"We played well at Sevilla, today a bit worse, but there is no reason to be worried.
"We are fine physically, but maybe in the head the La Liga [defeat] was tough.
"The squad is annoyed at the defeats, but we must be more intense, more energetic, and that will bring us out of this disappointment."