The Segunda B outfit bundled Atletico out of the competition just days after they had returned from Saudi Arabia with the Supercopa de Espana.
A stunned Saul said at the final whistle: “It is a very hard time, we are in pain but this has to serve for the future. The fans don't deserve this and neither does the club. The fault lies with the players. We have to have more self-criticism.
“This cannot be repeated, this is not Atlético de Madrid. The fans do not deserve this and the players have all the blame. In seven years that I have been in the first team I have never experienced this. We have many things to improve, whoever thinks he knows everything is wrong.
"It's a thing of all the players that we should have more self-criticism, more pride and know what we stand for."