Felipe dismissed the suggestion Atletico Madrid's players have any doubts about Diego Simeone after its derby defeat to Real Madrid left it 13 points behind La Liga's leading side.
Karim Benzema's goal 10 minutes into the second half - his first at the Santiago Bernabeu in a Madrid derby - condemned Atleti to a third defeat in four matches in all competitions.
Simeone's side had its chances before the break, with Vitolo going close and Angel Correa hitting the post, though the visitor hardly threatened after going behind.
But defender Felipe insists the squad is fully united under Simeone, despite a dismal start to 2020 which has seen them fall well off the pace and drop out of the Copa del Rey.
"No, we're all united, all together in this," Felipe told a pitchside reporter. "We do have things to correct, do have things to improve but we will do it. We'll do it game by game, little by little but count on us, we know that today we suffered but we are united and we worked hard. We know we've got things to change, winning is everything to Atleti. We've got to correct our errors as quickly as possible."
Zinedine Zidane made two changes at half-time, bringing on Lucas Vazquez and Vinicius Junior - who played a crucial part in Madrid's winner - and Felipe acknowledged the substitutions caught Atleti off guard.
"Yes, it was an aggressive change," he said. "It pushed us back onto our heels a bit. We knew how to work our way and stay in the game. Now we have to correct our position in the league quickly."
Vinicius, meanwhile, is hoping to grasp any opportunity he is given as he bids to become a regular starter for Madrid. "Lucas Vazquez and I came on, changed the rhythm of the game first and foremost," Vinicius said.
"Zidane asked us to keep doing what we were doing and to do everything to go out and win. He's everything. He told us what we had to do and we did well. We've got such great players here. All I have to do, if I get a chance, is to win games like I did today."