Zidane's side found themselves in winning positions twice in the game, but Las Palmas responded both times they fell behind.
After the game, Bale said: "We're disappointed we did not win.
"We are still unbeaten in the league, but the important thing is to win three points.
"We were unlucky with the chances we had, but now we play in Dortmund and we have to bounce back.
"We were unlucky, but that is football".
Real Madrid will look to bounce back when they face Borussia Dortmund in the Champions League on Tuesday evening.