The attacker scored both goals in the 2-0 win, but was targeted following a nasty injury to Atletico's Javier Manquillo and struck by the object as he left the pitch at half-time
The Portuguese, who is in the middle of a three-match suspension in La Liga, converted two early penalties to seal Madrid's spot in the Copa del Rey final following last Wednesday's 3-0 win in the first leg at the Bernabeu, but was involved in two unfortunate incidents at the end of the first half.
First, he was booked for a challenge on Atletico defender Javier Manquillo, when the two players jumped and the 19-year-old landed on his head in a sickening moment.
There appeared no malice in the challenge and Ronaldo did not even notice his rival was grounded, but checked on the Atleti right-back when he realised the severity of his fall.
Moments later, however, the 29-year-old was struck by a lighter thrown from the stands as he left the pitch in conversation with team-mate Sergio Ramos.
Ronaldo reappeared for the second half following medical treatment, but was replaced by Jese after 75 minutes.
"We reject the attitude of those fans," Atletico spokesman Clemente Villaverde said afterwards. "Nobody should throw anything.
"They should get behind the team. It's an isolated act and we have identified the person who threw the lighter. We'll have to wait for the referee's report to see what can be done."
And Madrid captain Iker Casillas, who has gone through the entire competition without conceding a goal, said: "There's always one low-life who taints the support. It doesn't show the quality of their fanbase."
Manquillo, meanwhile, was taken to hospital with what was described by Atletico as a "cervical sprain" and will undergo tests.