Milan thumped Real 3-1 at the Bernabeu, with Lunin again stepping in for the injured Thibaut Courtois.
Lunin said afterwards: "I can't even say good night. I think the last two defeats are inexplicable. We have to do a good analysis and react well. We have to come back.
"I don't see the team nervous. Unfortunately, in football there are difficult moments. We understand perfectly that we are Madrid, that we always have to win, that there are no excuses. We have to react, we have to finish off chances, we have to reduce the ones we concede. But I don't see anyone nervous or having problems. We will analyse it, no matter what, but we will overcome this moment."
Asked if he understood the jeers of the home fans, he added: "Yes. The Bernabéu has always been demanding, but that also helps us in difficult moments when they encourage us, push us. Today it wasn't to be, I can understand them. They are always with us and I can only thank them. We have to improve our play and our results."