The former Spanish champions raced into a three-goal lead in Madrid, before conceding two Jonathan Viera penalties to hand the home side a route back into the match.
Madrid held on for all three points, but the Portuguese defender has insisted that their defending must improve in the weeks ahead.
"We are all down about it. In the second half, we didn't have the right intensity but the most important thing is to recognise it, and that it has happened in the last two matches and cannot happen again," he told the club's official website.
"But I think that we were very good in the first half. The team worked hard, with a lot of intensity, we had control and we moved well. The coach told us at half-time that we had to keep going because Rayo Vallecano are a mentally strong team.
"But they came out very strongly after the break at home in front of their fans and picked up the pace, which we struggled more against. The most important thing, though, is that we took the three points at a difficult ground to win at."
Madrid face Juventus in the Champions League on Tuesday.