Carlo Ancelotti masterminded Real's progression to the UEFA Champions League final on Tuesday at the expense of defending champions Bayern Munich, who were hammered 4-0 at the Allianz Arena - and lost 5-0 on aggregate.
Real have already won the Copa del Rey and could still snatch the league title, but city rivals Atletico Madrid - their opponents in the Champions League final on May 24 - are strong favourites to be crowned Spanish champions.
Diego Simeone's side are six points better off than Real - and four ahead of Barcelona - with three games remaining and are on the verge of their first La Liga title since the 1990/91 campaign.
With a minute of stoppage time to play in their semi-final with La Liga rivals Sevilla, Juan Antonio Pizzi's men were on the verge of the final having overturned a 2-0 deficit from the first leg to lead 3-0 in the closing stages of the second leg.
However, they were left stunned when Stephane M'Bia's 94th-minute header at the Mestalla ensured Sevilla progressed on away goals.
"We can rest assured, though, that this road leads to good things," he told AS after Thursday's defeat. "I told the players I'm proud of them and they deserved to get to the final.
"Unfortunately these things are part of our career and shocks are worth more than the victories, I'd say.
"Everyone has to work for each other. We must learn and value learning, and try to be better every day."
Valencia's trips to the Bernabeu have not proved to be fruitful in recent seasons, though, as they have not taken all three points since 2008.
