Diego Costa scored in the 11th minute, to hand Carlo Ancelotti’s men their first defeat of the La Liga season and took Atletico five points clear.
Ronaldo says Ancelotti is not to blame.
He said: “Atletico went ahead and played a good match. They ran more and it was not our best day.
“The coach is not to blame. The players are to blame. I played badly, but not just me. My team-mates were not good either. We have to step up and fight harder.
“From today to tomorrow we can improve a lot and we will do. There are still a lot of league matches left, the Champions League, the cup. Five points is a big advantage but we have to keep working to make this a phenomenal season.”