Dortmund entered their trip to Mainz in high spirits after a 2-0 UEFA Champions League win over Arsenal on Tuesday.
But they lost their second Bundesliga match of the season – just four games old – after Shinji Okazaki gave Mainz a 66th-minute lead.
Dortmund substitute Ciro Immobile then missed a penalty before a Mathias Ginter own goal capped a miserable day for Jurgen Klopp's side.
And Bender – who made his first Bundesliga start since February after a serious groin injury – said his side were wasteful in the defeat.
"We were not ambitious enough," Bender told Dortmund's official website.
"We were aware that it would be a very tough match. [But] we have shown that we know how it goes against Arsenal.
"We must remain clear in our actions [and be] purposeful.
"After the break we had the game under control but one counterattack... [and] the game [is turned] on its head.
"We need to be wide awake on Wednesday against Stuttgart."
