Jemez negotiated Rayo to an eighth-place finish last season, but he has admitted that it will be tougher this time around for "the smallest in the league".
"We did almost everything wrong. Therefore this is the result that has occurred. When you play bad and offer so little, it is not a question of improving one thing or another. It is an issue of improving the collective, the group, and everything they have done," he told reporters at a press conference.
"We have not deserved anything more than what happened on the field. When you play like we did here and you find yourself against an opponent as strong as Atletico Madrid, the best that can happen is that you lose by only five.
"The players feel as I do. Embarrassed, humiliated and hurt for what has happened, but we have deserved nothing more. We are the smallest team in the League. We have 19 others, then us in 20th. And nobody has entered that into their head."
"Until we are aware of this, we will not enter into a good dynamic. Thank God it was just five. We are the smallest in the League, the worst in the league is us. When we are aware of that, we can compete with anyone."
Rayo have taken three points from their first two games.