The European champions say Benzema has "a sprain to the medial collateral ligament of his right knee."
Madrid did not say how long it expects the France international to be out.
Madrid was already preparing for the second leg of the quarterfinals at home against Atletico without Gareth Bale (left calf), Luka Modric (right knee) and Marcelo (suspension).
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The first leg finished 0-0.
Madrid also trails Barcelona by two points in the Spanish league with six matches to go.
