The Spaniard was given a rare start in the Copa del Rey last night and he bagged a brace in a disappointing 2-2 draw with second-tier Numancia.
However, Real Madrid progressed to the quarter-final stage with a 5-2 aggregate score.
But the draw is only adding to pressure Zidane is already under as Los Blancos sit fourth in the La Liga table, 16 points behind leaders Barcelona.
And Vazquez reckons the players have to take the blame for the dismal run of results.
“The coach is working very well and with incredible desire,” Vazquez said.
“He’s been defending us all year, and we are killing him with results.
“He explained it very well in his press conference, we are a team.”
Along with defending his boss, Vazquez also told the supporters that the club are all pulling together to get back on the right track.
“Fans have been able to enjoy the five titles we won last year,” he added.
“We give everything for them and for Real Madrid.
“That is the formula and we will fight to the end.”