The Galacticos looked to be heading towards victory at Balaidos on Sunday after Gareth Bale’s first-half brace saw them leading 2-1, only for Celta to hit back in the final eight minutes to rescue a draw.
The result saw the defending Spanish league champions drop 16 points off the pace of leaders Barcelona at the half-way stage of the campaign.
"We've talked to each other, we're a little angry, normal, you have to be angry with the second part,” Zidane said.
"We can not be happy with the result, we were able to make a better game, especially a better second part, we did not manage to do 90 good ones.
"In the second half there was a team in front that maybe made the pressure better, we failed to get the ball out."