A solitary Diego Costa goal in the 11th minute was enough to earn Atletico victory at the Bernabeu - their second in succession following last season's Copa del Rey final.
And Ancelotti, whose side needed a 94th-minute Cristiano Ronaldo penalty to beat Elche in their previous game, said at a post-match press conference: "We conceded the goal at the start, the match became difficult and we lost confidence.
"The start of the season has been good and we've been playing well, but the last two matches have been bad. We have to fix it with a better attitude, more concentration and with clearer ideas.
"The moment we're going through is not easy and losing a home match is not good. We have to think about fixing the problem quickly.
"I think we have to continue with the work we are doing, trying to play more with the ball on the ground. We were doing well until last week and I am not going to change things now.
"It is true that we are five points behind (Atletico and Barcelona), but the league season is long and we have time to cut the gap. The team has a lot of quality."
Ronaldo echoed his manager's thoughts and 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."
For Atletico, it was a seventh successive win to start the season, matching the feat of Barca, but coach Diego Simeone played down their status as genuine title contenders.
"Looking at the table you would say yes, but the economic power of Barcelona and Real Madrid is important," he said. "We will go game by game.
"The result is much better than anything. I compare it to the final because winning a cup final at the stadium of your eternal rival is important.
"It was a very good performance. I congratulate my players because they have responded very well in a very important game."
Captain Gabi paid tribute to goalscorer Costa, saying: "He is a very important player for us, he is indispensable to the team, the team knows what he wants. He is growing as a player and is vital to us."