The forward has emerged as a key part of Carlo Ancelotti's side this season but has been dealt a devastating injury blow
The Spain Under-21 forward was withdrawn after just three minutes and early tests in the dressing room at the Santiago Bernabeu have revealed a possible cruciate knee ligament injury.
Further examinations will be carried out Tuesday night or Wednesday depending on the level of inflammation surrounding the problem area, and these will determine the full severity of the damage.
The news comes as a huge blow to the 21-year-old following his emergence as a key part of Carlo Ancelotti's side this season, scoring five goals in 18 La Liga games.
Madrid will hope Jese's problem is not as serious as the one suffered by Sami Khedira, who has been absent with a cruciate knee injury since November.