Coming on the heels of the 2-0 defeat at Chelsea and the 3-0 reverse against Tottenham last Saturday, the Blues went down to a 3-0 defeat to the Italian side, conceding three goals by half time and mustering just three shots on target.
It's a far cry from what was expected following massive expenditure on new players over the summer and has Koeman questioning why his team can't match the aggression, spirit and composure on the ball of the opposition.
"[Atalanta] showed more aggression, they showed more passion," Koeman told BT Sport. "And that is really painful, because in my opinion it starts with that and then you need quality on the ball.
"I asked myself what I am doing wrong, about the second half against Tottenham and the first half here. It is not the way I like to see my team. The commitment and the passion, what they showed in the first half was much bigger than what we showed.
"But once again it is not the time and the place to criticise the players. I need to criticise myself because the team was not prepared and that is a question for myself.
"The whole Atalanta team was much better prepared than us. Once again that is the manager.
"We knew from the beginning of July that the start of the season was really tough. We need to accept it. That is not the problem. The problem is what we showed in the first half."
Quotes sourced from FourFourTwo