The champions saw their five-game winning run in all competitions emphatically ended when Gerard Moreno slammed home a dramatic late winner for lowly Espanyol.
The 1-0 defeat will lead to questions over Zidane's decision to rest Cristiano Ronaldo, while Karim Benzema started the midweek fixture on the bench.
Benzema did come on as Madrid pushed for a late winner, only to be caught on the counter when Sergio Garcia's cross allowed Moreno to score in the third minute of added time.
"We have missed a bit of everything. We started well and had chances to score, but the second half was worse," Zidane said.
"Espanyol had few opportunities. It is a defeat that hurts and a bad result - I'm sorry for the players.
"Sometimes you do not understand football. We had a few moments in the second half, but you have to accept the difficult times.
"When time is nearly up and it's 0-0, things can happen. We always look for victory and today we did not achieve it.
"They also scored a goal in the last minute, but we should not think twice about that. We did not deserve victory, or defeat."
Zidane - who withdrew Gareth Bale with nine minutes remaining when the game was still scoreless - could see his side slip down to fourth in the table, if nearest rivals Valencia win away at Athletic Bilbao on Wednesday.