The capital outfit conceded four second-half goals at the Bernabeu after a bright first period, but Jemez has insisted that his team played at their "highest level".
"Real Madrid has an amazing ability to easily hurt you and score. Nobody likes giving up five goals, but I prefer giving up five goals like that than give up three running behind the ball," Inside Spanish Football quotes Jemez as saying.
"The team made an incredible effort. I don't care if they would've scored four or eight against us. This serves as a lesson for the remaining matches.
"We played at our highest level against Real Madrid and it didn't work. We won't change our style. If we do things against Celta like we did today, we'll get results. The fight for the league title will go down to the end of the season and this would be a very positive thing for La Liga."
Rayo have won four of their last six games in La Liga.