Palace scored four goals in 17 second-half minutes at the Stadium of Light - including Glenn Murray's goal and a Yannick Bolasie hat-trick - before Connor Wickham's late consolation effort for the hosts.
After last week's 1-0 victory over fierce rivals Newcastle United, Advocaat was left to rue poor defending after a damaging result.
"We had a good performance last week against Newcastle, but today, we weren't in the game," explained the Dutchman.
"I'm not angry with the players, because they tried to do their best.
"I won't criticise players individually but our defending today was not of the highest level. We have to improve as a team and it doesn't help if I start shouting at everybody.
"Some of the players are playing to their limits, there's no doubt about that. But they showed against Newcastle that if everybody knows what they are supposed to do in the game, we can get results and
"Now we have to do that in our next game against Stoke."
Advocaat also took time to praise Palace’s attacking threats including Bolasie, who scored his first Premier League treble.
"Even in the first half, Palace were a little bit the better side with their pace up front and the individual skills of their players," the former Netherlands coach added.
"We were still in the game at 0-0 at half-time and I thought that if we could stay compact, we could create something.
"But then we gave the game away by conceding three goals in seven minutes.
"Newcastle was an excellent result and we looked good and were sharp in that game but you could see today that we couldn't handle Palace's pace."
