The champions are seventh in the table, and have lost 10 games this term – their most ever in a Premier League campaign.
However, the Spaniard has said that it is futile to search for any one particular person to blame, and called for the team to stick together.
He told The Mirror: "Now is not the time to blame anyone. Now is not the time to look for guilty people.
"Now is the time to stick together - with the manager, with his staff, the players and with the people on the board of the club. We need to carry on, to stay with the manager. We need to believe in him, because as players we know we have to improve.
"It's not just the manager, it's not just the tactics. It's all of us. It's not the time to blame one person. We are all together in this."
Mata signed from Chelsea in January for a club record of £37m.