Real Madrid now need to beat Borussia Monchengladbach in Matchday 6 to have any chances of progressing to the last 16 of the Champions League.
"If you're always winning, you have more confidence and when you lose, [not having confidence] is normal," Kroos said from Kiev. "As a team, you feel a lot better when you're winning and we have to get back to winning.
"We'll look at the situation in the group. All we have to do is win the last game, which is what we can do ourselves. If Gladbach don't win [against Inter on Tuesday], we have it in our hands."
After a good first half display, Kroos wasn't able to put his finger on what happened to Real Madrid in the second half against Shakhtar.
"I don't think it's a physical thing," he added. "I'm fine, but if you lose matches, everything is negative. We know that. In the first half, we won lots of balls, we pressed high and we had lots of possession."