PSG advanced to the final courtesy of a 3-2 win over Rennes but Neymar's behaviour overshadowed the club's triumph.
Neymar first angered Rennes when he controlled a high ball on his back and flicked it over the head of opponent Benjamin Bourigeaud.
The world's most expensive player then held out his hand to seemingly help Hamari Traore – who was on the floor – only to pull away as the Rennes defender held out his in appreciation.
"Neymar plays like that and he is a great player, so he needs to enjoy himself on the pitch in order to bring what he can to the team," head coach Emery told Canal+.
"He must also be protected and not just him, every player."
Kylian Mbappe was sent off in the second half as PSG held off Rennes at Roazhon Park.
Goals from Thomas Meunier, Marquinhos and Giovani Lo Celso had PSG up 3-0 and in control until the 19-year-old sensation was shown a straight red card for a poor challenge on Ismalia Sarr.
"Kylian was shown a red card for a foul on an opponent -- that illustrates my point that all players need protecting."
The playmaker was withdrawn at half-time and Emery said: "I spoke with him yesterday [Monday], he told me that he was ready to play, that he was focused on playing.
"Then there is the possibility for him to leave. Today, before the game, I spoke with him again to see if he had the mind to play today. So I told him he'd play.
"I'm happy with his first half work. Then he asked to be replaced because he felt a little muscular pain. I don't know if it's serious.
"He told me that he had the opportunity to leave but that he remains very focused and that as long as he has not left he will remain involved."