Tonny Sanabria's late winner handed Zidane and Real their worst start to a season at home in over 20 years.
Setien has since revealed Zidane did not shake his hand at the final whistle.
He revealed: "Zidane was affected. He did not have time to shake my hand.
"I know that Zidane was not in the mood to joke at that moment, which is understandable."