Martin Odegaard had his very Fernando Morientes moment as he scored a goal which helped knock his parent club out of the domestic cup, leading to more questions over whether he will return to the Spanish capital in the summer.
"I don't think our team selection was wrong," Zidane admitted in his post-match press conference.
"I put a team out that I thought could do well.
"There is an opposing team who has played very well and hurt us. We're all together at this club; when we all win and when we all lose."
Los Blancos were stunned by the incisiveness of La Real's attacking moves, yet the French coach believes his team didn't disgrace themselves in defeat.
"The feelings are bad because we lost," Zidane added.
"The second half was much better than the first and we tried until the very end, even at 4-1 down.
"The opponent played very well and we had a lot of trouble with their pressure, but we also made defensive mistakes."