Goals from Lucas Perez and Joselu secured all three points for Pablo Machin’s visitors, in Los Blancos’ third league defeat this season.
The defending Spanish champions are now without a win in their last three league matches, with Zidane’s under performing side slipping down to fourth in the table as a result.
Zidane faces a hectic run of games to end 2020, and the French boss knows his players need to improve.
“I don’t have an explanation for our form. And for tonight either, we between alternate good moments with bad moments,” he told a post match interview with Marca.
“When they score a goal after three minutes, things become very complicated.
“Against Milan we played a good game and today we did not. I do not have an explanation for that.
“What we have to do is keep working hard, allow our players to recover and change our consistency.”
Real Madrid have boosted their chance of securing a place in the Champions League last 16 with back to back wins over Antonio Conte’s Inter Milan, but they need a positive result in midweek at Shakhtar Donetsk to keep their progress on track.
Zidane’s players then face a quick turnaround from their trip to Ukraine on December 1, with a trip to rivals Sevilla in domestic action next weekend.