Los Blancos are currently five points adrift of leaders Barcelona in the table following an indifferent start to the season.
"We are not playing well. We may have had some good moments, but most of the time we are playing too complicated, too much as individuals," Khedira told Kicker.
"I do not know if it is a matter of time or something else, but we have not yet found ourselves as a team.
"We have to improve quickly. Barca are playing very consistently and Atletico have won every game so far."
Madrid return to league action at home to Malaga this weekend.