It compounded a frustrating outing for Madrid, who saw Gareth Bale and Cristiano Ronaldo denied strong first-half penalty shouts, while the latter missed a one-on-one as part of a dominant opening 45 minutes. Casemiro is looking clumsy, Isco's inventive powers have waned, and even Luka Modric and Toni Kroos - previously untouchable starters for four years - are facing heavy criticism.
Madrid conceded with three minutes remaining as Villarreal upstaged the struggling Spanish and European champions 1-0 at the Santiago Bernabeu.
Zidane told post-match press conference, "The first thing is it is hard". "We did everything we could, we had plenty of chances, but the ball just didn't go in".
"I'm exhausted of hearing that Madrid is struggling", Zidane said.
"We did everything possible to win and I honestly can not reproach my players for their actions. And we tried that" - did little to convince those who doubt whether Zidane, who is still quite raw as a coach, can get them out of their current rut.
"The positive thing is that we are still alive in all competitions".
'However, we have to be calm and use good sense.
"It might be a mental aspect that is stopping us from winning", Zidane continued. I hope that is Thursday, or Sunday.More news: Chelsea 0-0 Leicester: Watch highlights as hosts escape with draw
"Things can change but I think it's best to change things in June rather than now". We have to keep thinking we can do that.
"We had chances, shots, could have scored". Villarreal are a team that likes possession, but we have played a good match in general.
"This wasn't about a lack of focus, the ball just didn't want to go in", Carvajal told reporters.
Zidane added, "We know the situation, we have the Copa, and the Champions League in a month".
"What I ask is that they support the team, like they have always done", said.
However, with his famous forwards either injured or out of form this season, goals have been hard to come by, especially in La Liga. This can wear you down mentally. "It's pretty to talk negatively about Real Madrid, it sells more".