Los Blancos were knocked out of the Champions League by Arsenal at the quarter-final stage and the goalkeeper thinks their failure was down to the team not playing as a collective unit.
Courtois told CBS Sports: "We are a team, but sometimes I feel like we play too individually.
"When they double-team Vinicius Jr. or Kylian (Mbappe), sometimes it works out, but three, four times, it doesn't. If we want to win, we need to be better."
Real superstar Mbappe was kept quiet in both games against Arsenal and believes that the team's lack of a "natural striker" has cost them this season – after on-loan centre forward Joselu scored some vital goals last term.
Courtois said: "In the end, they're a team that defends well, is well organised, presses well, and it's difficult to find space.
"We put in a lot of crosses, but this year we don't have Joselu, a natural striker up front."
The Belgian international has urged the team to put their European disappointment behind them as they still have both La Liga and the Copa del Rey to play for this season, as well as the revamped Club World Cup this summer.
He said: "We have to analyse carefully what we can do better. We have a lot of season ahead of us, we have the league on the line, the Cup in 10 days, and then the Club World Cup.
"We thank the fans. Thinking about a comeback was great, and I hope we can bring them some joy this season."