Coach Manuel Pellegrini remains confident this will be a good season for Real Madrid despite their embarrassing Copa del Rey exit at the hands of minnows Alcorcon.

Seeking to overturn their humiliating 4-0 first-leg loss against their third tier neighbours from just south of the capital, Madrid could only manage a 1-0 victory in last night's return meeting at a full Bernabeu.

Madrid had plenty of efforts on the Alcorcon goal but the only time they could beat visiting custodian Juanma was when substitute Rafael van der Vaart rifled home from the edge of the box nine minutes from time.

By then it was too late for Madrid to mount the memorable comeback an expectant Bernabeu was hoping for, and the fans were not slow to vent their anger, jeering their side off at both half-time and full-time.

Pellegrini also found himself under heavy fire for substituting the impressive Lassana Diarra midway through the second half, with the Madrid fans waving white handkerchiefs in protest and calling for the former Villarreal coach's head.

It was a night to forget for both Madrid and Pellegrini but, while the Chilean was far from happy with the cup exit, he remains confident of good times ahead for the big-spending Spanish giants.

He also believes he still has the players on his side.

"Everyone can made their own judgments, we were knocked out by a team from the Segunda B, we can feel regret, but it's already over," he said.

"I have no doubt that the players are with me. It's difficult to overcome a 4-0 deficit because you are playing against many factors. I would've liked to continue (in the cup) but we are at the start of a season that I'm sure is going to be very good."

Pellegrini put out strong sides for both legs of the tie and last night employed four forwards - Raul, Ruud van Nistelrooy, Gonzalo Higuain and Kaka - from the outset.

It was not enough, even though both Van Nistelrooy and Higuain hit the Alcorcon crossbar and a number of efforts were kept out by the busy Juanma, but Pellegrini insists he was happy with the side he selected for the clash.

"I don't regret the line-up," he continued. "I think they were the players who had to play. I've said it from the start: I have faith in the whole squad, not just in a team."

Although Madrid were jeered off at half-time, it was when Diarra was replaced by Marcelo in the second half that the supporters really showed the extent of their fury, demanding Pellegrini's resignation.

Diarra was once again arguably Madrid's best player, despite playing at right-back instead of his normal position in the heart of midfield, but Pellegrini was quick to defend his decision to replace the Frenchman.

"The crowed were angry by the exit of Lass. I understand that because he was having a good game but I felt that it was the best thing for him," Pellegrini added.

"He has been playing a lot and giving it everything. It seemed to me most prudent to replace him, both for the player, who could have risked an injury, and for the team.

"I could have been more selfish, because I knew the fans wouldn't like Lass being changed. (But) I think that it was very important that the player didn't suffer an injury. I think about the player and the team before myself."