With their hopes of a record 13th Champions League trophy falling through their fingertips, Los Blancos cannot dwell on the defeat for too long as the fascinating fight for the Spanish league title continues.
Zidane's team will square off with fourth-placed Sevilla on Sunday - who are a dark horse for the trophy and seven points adrift of Diego Simeone's league leaders.
Having come so agonisingly close to a European trophy, domestic triumph is pivotal for Zidane's side, especially if you consider who their President is.
Tip of the fixture
Karim Benzema has 21 league goals to his name so far this season. He also has nine goals and ten assists against Los Sevillistas across 24 previous games in all competitions.
Real have won their last four league games against Julen Lopetegui's side, scoring six goals and conceding only once. Their last defeat came in a 3-0 drubbing at the Ramon Sanchez-Pijuan Stadium during the 2018/19 season.
On a grander scale, the Santiago Bernabeu outfit are also superior in terms of victories, with a win ratio of 53%. They have won 89 of the 165 games between the two - Sevilla's 48 wins leave them with a much inferior percentage of 28%, the two teams have drawn on 28 occasions.
Former Real Madrid winger, Critsiano Ronaldo, is undisputedly the best player in this fixture with 27 goals to his name.
Legendary Sevilla forward, Guillermo Campanal, is the club's top scorer in the encounter with 15 goals.
Los Blancos have scored 61% of the total number of goals scored in the fixture, putting away 357 of the 581 scored in the match overall.
The biggest victory recorded by Real against Los Sevillistas is 8-0, a scoreline they have achieved twice - in the quarter-finals of the 1958 Copa Del Rey and again in 1959 in La Liga the next season.
Real Madrid 7-3 Sevilla (La Liga - October 30, 2013)
A superb game for the neutral saw Real put seven goals past Sevilla in a fascinating fixture at the Bernabeu.
Gareth Bale made an immediate impression in his first home start for Los Blancos, scoring a brace within the opening half-hour. Cristiano Ronaldo then added a third from the penalty spot soon after.
Ivan Rakitic made an immediate response for the visitors with a penalty of his own before Carlos Bacca reduced the deficit to one goal just two minutes later. He finished at the back post after superb link-up play from Los Sevillistas down the left-hand side.
The second half was even more chaotic than the first. Benzema and Ronaldo restored the hosts lead to two within the hour-mark but Sevilla would respond once again through Ivan Rakitic's second goal of the game to make it 5-3.
After a closely contested hour, the balance began to monumentally shift in the favour of Los Blancos. A trademark goal from CR7 completed his hat-trick in the 71st minute after the Portuguese talisman embarked on a mazy run before executing a clever chip over Beto.
Sevilla's fortunes were further tarnished when Mbia was dismissed for a second bookable offence and Benzema added insult to injury ten minutes from time to cap off a crazy victory in the Spanish capital.
Real Madrid 5-0 Sevilla (La Liga - December 9, 2017)
A Cristiano Ronaldo brace was the highlight of a rampant Real Madrid display. The forward scored all five of their goals in the first half to thrash Sevilla at the Santiago Bernabeu.
It took the hosts just three minutes to find a breakthrough, capitalising on a scrappy goalmouth scramble in the Sevilla box. The ball fell to Nacho who poked the ball past Rico from close range to give Real the perfect start.
Celebrating his fifth Ballon D'or victory in style, Ronaldo opened his account in the game after 23 minutes. He converted a penalty eight minutes later to complete his brace.
It wasn't long before Los Blancos had found their fourth. Toni Kroos embarked on a run from deep in the Real half before a great exchange with Lucas Vazquez allowed the German to finish in style.
Achraf Hakimi added insult to injury for Los Sevillistas when he grabbed a fifth in the 42nd minute. A goalless second-half ensured the hosts saw out a wondrous win.
Real Madrid 3-2 Sevilla (UEFA Super Cup final - August 9, 2016)
A tremendous solo goal from DanI Carvajal in the dying seconds of extra-time snatched a euphoric winner for Real in a five-goal game at the Lerkendal Stadion in Norway.
Marco Asensio gave the Champions League winners the lead with a stupendous strike from range on his left foot that rocketed into the top-left corner of the Sevilla goal.
Jorge Sampaoli's side drew level on the stroke of half-time through a well worked move. Franco Vazquez's half-volley outwitted Kiko Casilla and bounced into the Real net to provide them a foothold.
Much to Los Blancos' surprise, Sevilla would take the lead in the second half. Yevhen Konoplyanka tucked away a convincing penalty after Vitolo was brought down by Sergio Ramos in the Madrid box.
Redeeming himself for conceding the aforementioned penalty, Ramos equalised for Zidane's side in the game's dying second; heading into an empty goal after a superb cross from Vazquez.
After all but 30 minutes of extra-time had passed by without a goal, the game seemed destined for a penalty shootout. Then, an unlikely goalscorer for Los Blancos stunned the Norwegian stadium and settled the tie once and for all.
Winning possession on the halfway line, Dani Carvajal jinxed through a sea of Sevilla shirts down the right wing, cutting into the box to smash the ball past Rico, as his adoring team-mates mobbed him.