The defeat at the Veltins-Arena leaves Schalke with a mountain to climb in next week's return leg, and Huntelaar believes the Bundesliga outfit need to improve if they are to make it to the semi-finals of the competition.
"We didn't play well over the full 90 minutes," Huntelaar told Sat1. "We didn't take our chances.
"We lacked determination. Then we fell apart a bit, and could no longer impose our game."
"We all need to do better, myself included."
Huntelaar is also quietly hoping Bilbao might get complacent with their two-goal lead, allowing Schalke a chance to get back into the game.
"Perhaps they [Bilbao] think they are already through," Huntelaar added. "If we keep the pressure up, we can score a quick goal and then we'll see."
Schalke will be looking to bounce back on Sunday when they travel to play Hoffenheim in the Bundesliga.