Madrid stayed seven points behind second-place Atletico and 14 points behind leader Barcelona. Atletico hosts Leganes today and Barcelona visit Las Palmas tomorrow.
"We didn't deserve to lose", Zidane said after the game on beIN Sports .
"We performed better in the first half than we did in the second", the France worldwide said.
Ronaldo, who scored eight goals in his past four games, was rested by Zidane to make sure he is fully fit for their UEFA Champions League last-16 second leg against Paris Saint-Germain next week.
Madrid battles Getafe CF at 2:45 p.m. on Saturday at Santiago Bernabeu in Madrid before facing PSG in a second game of a two game Champions League series at 2:45 p.m. on March 6 at the Parc des Princes in Paris, France.
Zidane - who withdrew Gareth Bale with nine minutes remaining when the game was still scoreless - could see his side slip down to fourth in the table, if nearest rivals Valencia win away at Athletic Bilbao on Wednesday.
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The Spanish global appeared visibly annoyed at being replaced by Karim Benzema, and it is believed his captain berated his poor attitude after the match.
Espanyol defeated Real Madrid 1-0 in La Liga tonight.
Espanyol had never beaten Madrid at RCDE Stadium, where it began playing in 2009.
Espanyol sat deep and allowed the visitors to go at them while only looking to attack on the transition.
"We started the first half very well and had chances, but we failed to take them".
Espanyol probably edged the game and Moreno had a first-half goal ruled out for a marginal offside call. "This result restores our confidence after a series of poor results".
Zidane admitted that his side did not do enough to win the game but went on to say that a draw would have been a fair result.