Chelsea won 3-0, thanks to two goals from Nicolas Jackson and Cole Palmer's strike.
Lopetegui later said: "It has been a tough day.
"We had a big expectation and a mission to win this match, but it's true that I think that we started well, but in the first action, we suffered a very, very soft goal and after the first goal and the second one I think that was more difficult.
"We had chances but we didn't score before the half. I think that we had one penalty (appeal), and a clear chance that we needed to score to produce more in the second half, but in the first action, we suffered another goal.
"I had the impression that on each occasion they have scored very, very easily and, of course, it is going to be more difficult to compete in this kind of fashion. So, we have to improve and to change these things to compete in Premier League.
"We need the clean sheet as it is very important to be able to stay in the match. You can’t suffer very soft goals, so we have to change this. We are very, very, very sad, all of us, but we have to change our minds and our ambition for the next match against Liverpool and to look forward despite today, we are very, very unhappy."