Los Blancos were beaten 2-1 at the Santiago Bernabeu in the second leg of their quarter-final, making the score 2-2 on aggregate but giving the underdogs a win via away goals.
Afterwards, Zidane spoke about his position and didn't underplay how crucial the Champions League is for him now.
"Yes, that's clear," he answered when asked if his position hinged on getting beyond Paris Saint-Germain in the last 16, per BBC Sport. "I'm responsible for this. I'm the boss. I have to find the solutions. We've found some of them but not consistently enough. I need to take responsibility, and I'll always fight."
Zidane also noted the loss to Leganes was his "worst moment" since taking over as manager and admitted the situation is a "fiasco" at present.
The defeat at home to Los Legionarios was another low point in a season of significant disappointments for the Spanish and European champions. As noted by OptaJose, Madrid have never had to endure this type of elimination from the Copa previously:
While the competition isn't usually a priority for Madrid, this season it felt like a tournament that had taken on added significance.
After all, it was Los Blancos' best chance of silverware in 2017-18. A tie with a star-studded PSG team is a difficult assignment, whereas the La Liga title has all but gone; Real sit in fourth in the table, a staggering 19 points behind leaders Barcelona.
Zidane has plenty of goodwill in the bank after steering this side to back-to-back Champions League wins, although results like the one against Leganes are heaping pressure on him.
Per journalist Kieran Canning, the Madrid supporters have had to sit through some poor performances at the Bernabeu recently:
Of course, there is only so much Zidane can be culpable for. While Cristiano Ronaldo and Gareth Bale weren't involved on Wednesday, the side on show should have been good enough to get the better of Leganes and preserve the one-goal lead Real had from the first leg.
Even so, the manager is often the man who takes responsibility, and given how high standards need to be in Madrid, even someone of Zidane's esteem can seemingly fear the axe.
Dermot Corrigan of ESPN FC suggested club president Florentino Perez will be concerned:
In the main, Madrid have performed well in the Champions League this season, and the squad knows what's required to get over the line in big games.
Zidane, as such, will be confident his players can overcome PSG and make a deep run. But given how they've toiled so dramatically in domestic competition, you sense only a third European Cup in succession will be enough for the former France international to still be in the dugout next season.