The Portuguese defender is struggling with a calf problem and initial reports suggest that he could be ruled out of action for a fortnight
The Portugal international played all 90 minutes of Wednesday's 1-1 draw with Liga rivals Real Valladolid on Wednesday but tests on Friday revealed that he picked up a calf problem during the game at the Jose Zorrilla.
"After scans and image tests on Friday in the Hospital Sanitas La Moraleja, the player Pepe was been diagnosed with a grade one muscle injury in his left calf," a club statement read.
Madrid are yet to reveal the full extent of the damage, but initial reports claim that he will be sidelined for about two weeks, which would leave his participation in the May 24 meeting with Atleti in Lisbon in doubt.
Cristiano Ronaldo also limped off during the game at Valladolid, but Carlo Ancelotti was quick to emphasise that his injury was "not serious".