The RFEF fired two executives on Thursday after Spanish police raided its headquarters in Madrid.
RFEF said the executives were linked to a multimillion-euro corruption probe, adding that the case had caused "very serious damage" to the sport's image in the country.
An apartment belonging to its former President Luis Rubiales was also raided as part of an investigation into the alleged corruption.
Asked about the recent raids, the coach told reporters on Thursday: "Nobody expects this. It is not nice. It is a feeling of sadness regarding the image we're offering.
"It must not have any impact in our work but we do not live out of touch with reality. We only want the authorities to investigate and establish (our) responsibilities.
"We have a huge responsibility. We want to bring good news to fans and to our country and for that we need to stay focused and need to work to play good matches, and offer a good image so the name of Spain and the RFEF is where it belongs."
Spain face Colombia on Friday in London and Brazil on Tuesday in friendly matches.
Spanish football has been forced to deal with a string of off-field issues recently, with FIFA's appeal committee imposing a three-year ban on Rubiales for allegedly kissing player Jenni Hermoso on the lips without consent after Spain's Women's World Cup win over England last year.
"We've been for quite a long time dealing with plenty of things not related to sport so we became sort of experts dealing with these situations and in focusing on what matters to us the football players," Spain and Manchester City midfielder Rodri told reporters.
"Everything related to police investigations and arrests is not nice. But we’ll have to let justice work."
