Benitez’s side were beaten 1-0 by Fulham at Craven Cottage, Matt Smith’s first-half header decided the Championship game.
United should have had a penalty before Smith lost his marker to head a corner past goalkeeper Matz Sels. But Newcastle manager Benitez felt his team had only themselves to blame.
“We didn’t play at the level we were expecting,” said Benitez, whose side take on Huddersfield at St James’s Park a week today.
“We were not keeping the ball in attack. We didn’t win the second balls. We have to improve, and this game is a wake-up call for everyone.
“You could see when we were losing 1-0 we had anxiety, we had to manage the ball much better and play with the ideas we wanted to do.
“We didn’t concentrate like we have to, especially when you are losing you need to be calm and do things much better.
“I know the competition, the team, the expectations were there that we would come and win, but we said they were a good team and we had to be ready.”