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."
Alexia Putellas: "We’re already the only club to have won the men’s and women’s Champions League, so the only thing even more historic to do than that would be to win it in the same season"
‘Trent has won everything he can for Liverpool, but of those who’ve left that we wanted to stay, who’s actually done better? I can only come up with one’: Reds legend highlights potential danger of Alexander-Arnold moving to Real Madrid
