Real won 4-2 after late goals from Nico Paz and Joselu.
“Carlo Ancelotti is a friend, he is very nice, but when I lose a game, my mind is clouded at the final whistle, so I don't even remember what he said to me," Mazzarri told Sky Italia.
“I think it was a very good performance and when the result was 2-2, if we had done better with the two or three counter-attacks we had, I thought that we could win it. At that point, we were not running any risks and Real Madrid seemed to be running out of steam.
“Then once we conceded that third goal, we had to pour forward and go for broke, which left the team unbalanced. It doesn't change much when you lose 3-2 or 4-2. There were some small things I spotted that we'll discuss, but overall it was a good game."
He also said: “When you play at this level, it is always tough. Tactically there have been changes, everyone tends to defend higher, press higher and try to win back the ball as quickly as possible, even the smaller clubs do that.
“However, football remains the same when you are faced with a champion who takes his man on and gets past into open space."