Los Blancos took a 3-0 lead into the second leg, but saw that wiped out before a stoppage time Cristiano Ronaldo penalty handed them a last-gasp aggregate win.
"It's embarrassing when people talk about a robbery".
Jose Manuel Gonzalez Lopez's side have won just four games, and there is little doubt they will be playing in the Segunda Division next season.
Alessandro Del Piero has criticised Gianluigi Buffon for his comments about referee Michael Oliver after Real Madrid vs Juventus on Wednesday evening. "People can write or say what they want but no-one can change the history of this club, which is the best". "We are the best club in the world and when you're the best club in the world, there is a certain degree of jealousy". "Anyone who says it was a robbery, I really don't agree".
Zidane added: "To be honest I think it is disgraceful, upsetting and deceptive".
Zidane said he believed the attacks on his team were motivated by their continued domination in Europe. I am mad about what has been said after the game about us.
"It's shameful what has been said about us and the way we have been treated, the suggestion it was robbery".
In the Primera Division, Los Blancos dropped down to fourth last weekend after a 1-1 draw at home to Atletico in the Madrid derby, but a win at Malaga on Sunday will see them return to third if Valencia fail to beat Barcelona at Camp Nou on Saturday.
Getting his Real Madrid side where they are today has been a struggle and hearing accusations of a so-called heist against Juve in the semis must be hurtful for a man who has worked very hard to try and make his team a success.
Sergio Ramos is likely to return, having been suspended in midweek, but Zidane is expected to rest other key players for the match.
Real Madrid will head to Southern Spain to take on bottom Primera Division side Malaga at the Rosaleda.
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