The left-back was beaten to the byline by Philipp Lahm, who then crossed for Mario Gomez to slot home and give the Bavarians a crucial 2-1 advantage ahead of their trip to Spain
Coentrao committed himself to a tackle on Philipp Lahm in the closing stages of the game in Bavaria and was left prone on the turf as the Germany captain skipped past him before whipping the ball over for Mario Gomez to nick a 2-1 victory for the hosts.
However, Pepe resisted the temptation to point the finger at his Portugal team-mate during a post-match interview.
"Fabio Coentrao is not to blame for the goal," the centre-half is quoted as saying by his club's official website. "We're all to blame. Football is a collective sport.
"We controlled the match and we're sad about the last minute, but we're also happy because it was important to score and we did."
Indeed, Mesut Ozil's 53rd-minute strike, which had cancelled out Franck Ribery's first-half opener, means that Madrid need only win 1-0 on home soil to book their place in the final and Pepe is anticipating a very different game in the Spanish capital next Wednesday.
"[Real Madrid legend] Juanito once said that 90 minutes at the Bernabeu is a very long time," the defender mused. "And we have the quality with which to turn the score around."
However, before Bayern's visit to the Santiago Bernabeu, Madrid must travel to Catalunya this weekend for their crunch Clasico clash with Barcelona.