The Buccaneers opened the 2018/19 Premier Soccer League (PSL) season with a 1-1 stalemate against the Lions of the North at the Orlando Stadium in Johannesburg.
Mlambo, who walked away with the man of the match award, was left to rue Pirates' missed chances.
“I would like to thank the supporters for coming out to support us. It was definitely not an easy game," Mlambo told SuperSport TV.
"It’s the first game of the season, we missed our chances we could have buried it but we were unfortunate,” he continued.
Highlands took a surprise lead when Pirates goalkeeper Wayne Sandilands failed to deal with his team-mate Gladwin Shitolo's back-pass in the 14th minute.
However, Pirates managed to restore parity through Justin Shonga, who scored from the penalty spot-kick. Augustine Mulenga had been fouled inside the Highlands box by Lesenya Ramoraka.
"Wayne did not make a mistake. The team made a mistake. We are brothers. Orlando Pirates conceded the goal not Wayne. His fault is not his fault, but the team's fault,' he insisted.
“I am grateful that my teammates, the technical team have made put all the effort it’s just that we didn’t get the results we wished to get," he added.
"A 1-1 draw is not a bad start. But we’re not happy about it. We definitely deserved to win this game," Mlambo said.
“In preparing for the for the new season the technical team, management put on a great effort for the pre-season. I reckon we are the only team that made the pre-season that we had," he explained.
"We went to Mpumalanga, we went to Zambia and we came back to play in Cape Town. It shows they’re [management] supporting us. We just need to reward them in the field of play," he added.
The 27-year-old box-to-box midfielder is confident that the Buccaneers have what it takes to challenge for all major trophies this season.
“We definitely want to compete for everything that’s there for us. It’s not going to be easy but we have the backing of a great squad, great technical team and management," Mlambo said.
"With such a great atmosphere from the supporters anything is possible,” he concluded.
Bucs will take on Mlambo's former club, Chippa United at the Nelson Mandela Bay Stadium in their next league game on Wednesday.