The Santiago Bernabeu crowd were heard to jeer the Portuguese coach as Madrid regained an eight-point lead at the top of La Liga.
Fans had recently shown their displeasure over tactics towards the end of Wednesday's Copa del Rey first leg defeat to bitter rivals Barcelona.
"[Zinedine] Zidane was also whistled here. Ronaldo was whistled here. Cristiano Ronaldo, a Ballon d'Or winner, was whistled here. Why can't I be whistled here?" he told reporters. "Zidane responded with his football, Ronaldo the same. Cristiano keeps doing it, I keep working.
"If they jeered me at a club where they don't normally jeer anybody, then I may be worried. But here, where they jeer the biggest names in football, it's not a problem.
"It never happened before at Porto, at Chelsea or at Inter. There is a first for everything."
Los Blancos travel to the Nou Camp for the second leg of their Copa del Rey semi-final on Wednesday.