The Nerazzurri fell 2-1 at Catania on Saturday evening, meaning they have just four points from the opening six rounds.
The only times they had a worse start to the campaign was with one win and five defeats in 1921-22 and 1924-25.
"We can't cling to the penalty incident, as unfortunately what matters is we lost again," said captain Zanetti after Catania's controversial winner.
"In the first half we did well, then after the break had a black-out. It's one of those periods when everything goes wrong.
"We are very upset, as I'm sure our fans will be too."