Real Madrid are enduring their worst season in 20 years.
Defeat to Leganes in the Copa del Rey was their tenth of the season - a record not seen since Guus Hiddink and John Toshack's Real of 1998/99.
Real still progress to the next round thanks to their first-leg 3-0 win, so leaving them 3-1 aggregate victors.
"That result of the first leg makes you more relaxed in your head, we were wrong with our confidence," admitted Nacho.
Casemiro added: "To be honest, we were not good."