The Foxes were hammered 4-0 at St James' Park on Saturday.
Van Nistelrooy said: "It was a big challenge to come here and if you give away the goals from set-pieces, we are not doing ourselves a favour . We could improve the structure in which we want to play with the ball. We are in a process of two weeks together. We had two positive results, but this one wasn't the best of afternoons for us.
"Against top teams in the league and we help them in their way with a couple of set-pieces in their favour and it was going to be a hard afternoon.
"I think it's development of the team as well. We need to learn form these games and how Newcastle outplayed us in counter-attacks. They were clever in the block and set-pieces. It is a long season. We move on, reflect and get better from this.
"It was hard. It was 1-0 at half-time. We were a bit lucky not to be down by more goals. It's costly when you concede in such standard set-piece situations. Then it was going to be hard to turn it around.
"We know how intense Newcastle players are and the intensity in which they play. A lot of the chances they created were form our ball losses and they got quick in the counter-attack. We kept going and trying, but we have to take this one on the chin and move on."
On their next match against Wolves, he added: "Every game for us is huge. Everything has to be right to get results in the Premier League, and so will be the next one as well.