Madrid had Cristiano Ronaldo back in the team following a five-match domestic suspension, but were held scoreless for the first time in 74 outings, allowing them to fall seven points behind Clasico rivals Barcelona with five games played in La Liga.
And Madrid's misery was compounded as ex-Barcelona youngster Antonio Sanabria headed a cross beyond the helpless Keylor Navas in the fourth minute of second-half stoppage-time.
"It's a f*cking bad start," he told reporters after the match. "It's concerning and alarming, as [this bad start at home] has included games against opponents that we would normally beat at the Bernabeu.
"But we must move on, be self-critical and think about the next games. We are the same players who were winning titles a month ago.
"We have to be united and think of ourselves, but there is a great team here and there are no excuses.
"I don't know why it's so hard for us to score at the Bernabeu. The minutes passed but the goal did not come and it was difficult. We created the chances, but we just missed the goal."