Valladolid took a one-goal lead into the interval at San Mames, but conceded four times in the second period as Bilbao continued their unbeaten home record this season.
"We're annoyed because we had a lot of hope for this match. We knew this would be a difficult place to come and play," he told reporters at a press conference.
"But the team is a little sick and when we have a setback, mentally we are overcome. We came looking to make it competitive so to concede four goals hurts a lot."
Valladolid have won just one of their last 10 in the league, with that run of form leaving them in 18th position in the table.