The defeat was Real Madrid’s second in La Liga this season, leaving them fourth on the table, four points behind leaders Real Sociedad albeit with a game in hand.
Despite taking the lead through Karim Benzema, a hattrick of penalties from Carlos Soler and Raphael Varane’s own goal saw Real Madrid leave without a point.
The Spanish champions were also without key midfielder Casemiro and Eden Hazard, who have gone into quarantine after testing positive for coronavirus.
This was the first time Real Madrid have conceded four goals in a La Liga game since a 5-1 defeat to Barcelona in October 2018, and Zidane was clearly not enthused by the way his side defended.
"Three penalties, an own goal, it's too much," Zidane said after the game.
"The fault is mine because I am the coach and I have to find the solution. I can't justify what happened. It's a bad day, there are no excuses. We must improve defensively.
"I don't think Valencia have been tactically better than us. The only thing is that we started well and everything changed after the goal.
"This is difficult to understand. But yes, the maximum responsibility is mine. We must find solutions after the goal they scored."
After the international break, Real Madrid travel to second-placed Villarreal.
