Carlo Ancelotti's men spent vast sums during the transfer window to land the likes of Toni Kroos and James Rodriguez, but suffered their first defeat of the Liga season last Sunday when they slipped to a 4-2 reverse at Anoeta despite taking a 2-0 lead.
The Spanish season is only two matches in but will now head for a short break due to a round of international matches and Real will challenge Atletico Madrid at the Santiago Bernabeu when the league resumes.
And Real full-back Arbeloa believes the team now have extra motivation to get an early advantage over the Spanish champions.
"The defeat in San Sebastian was particularly hard because of the way it happened," he said at an event for adidas.
"But we are now thinking about working hard. We have a very important match against Atletico after the break with our people and our fans.
"We're aware that this is a warning and it will motivate us and help us see that we need a change."
Arbeloa has featured in both of Real's La Liga fixtures this season.
