The shot-stopper had to be taken off during the first half of his side's 1-1 draw with Valencia due to a kick to the hand, and is unsure for how long he will be out of action
The experienced goalkeeper was forced to leave the pitch after 17 minutes of play, and will undergo further examination on Thursday to determine the exact extent of the injury.
"I immediately knew something was wrong. I’m in a bit of pain. The doctor doesn't want to make any hasty judgements," Casillas was quoted as saying on the official Madrid website.
"He’s seen something he doesn’t like and we’ll have to wait to analyse it in greater detail. We are going to perform the relevant tests to see the seriousness of the injury. I hope my injury is not serious.
"Because it’s a finger we have to analyse it properly. Let’s hope the results are positive but it’s the doctor who gives the orders. When I tried to close my fist I felt that it hurt.
"It's just the thumb and the fact that it has nothing to do with the wrist is good. I will try to be fit again as soon as possible."
Madrid progressed to the semi-final of the Copa following Wednesday's draw thanks to a 2-0 first-leg win last week.