Los Che entered the match unbeaten in La Liga this season, but they were undone by a struggling Depor side in La Coruna.
"Overall it was a bad game, a bad day, but there's nothing to point to the ability of the players," Nuno told AS.
"We wanted to find a goal. When you look for a goal and you're behind, you take more risks and this is what can happen.
"When you see a game like that you have to sit back and work, to be stronger. In the next game we have to give a different answer in front of our fans."
Valencia currently sit fourth in La Liga.