Thomas Tuchel's side suffered their first defeat in the French top-flight in their 21st league outing of the season, as Moussa Dembele and Nabil Fekir cancelled out Angel di Maria's early strike at the Parc Olympique Lyonnais.
Despite the loss, the Ligue 1 champions, who will be without Neymar for two and a half months, hold a 10 point lead over second-placed Lille, who have played two games more.
And due to their level of performance against third-placed Lyon, the 2018 FIFA World Cup winner believes there's no cause for panic ahead of their last-16 showdown with the Premier League giants on February 12.
"I don't know if the defeat was deserved. In the first half it was deserved, but after half-time, we still dominated," Mbappe said, as per FourFourTwo.
"We started well. We have hurt Lyon, who let the storm pass before starting to hit top gear. Lyon had opportunities and scored. We also had situations. After half-time, we put them back in the game. They scored on the only occasion they had, a penalty."
Mbappe continued: "We have not realised our many opportunities. I'm not worried about the Champions League match. We must take it match by match and wait for the Champions League.
"It feels good to play matches like that. Facing teams that play is the best way to prepare for the upcoming deadlines. It's up to us to win.
"The goal was to remain undefeated and we will try not to lose again by the end of the season. It's complicated, yes, to play without Neymar. You must accept it.
"Last season, he was also injured and it would be nice not to make the same mistakes, otherwise it would mean that we did not learn anything."