The Spanish Football Association was to blame for Real Madrid fielding an ineligible player in the Copa del Rey, club president Florentino Perez says.
Winger Denis Cheryshev, 24, scored in Wednesday's 3-1 win over Cadiz, but reports suggest the Russian should have been serving a one-game ban.
Perez said Real were not told of the ban by the association (RFEF), and will fight any sanction imposed on the club.
"If we didn't know, the sanction cannot stand," said Perez.
Newspaper AS published a document showing Cheryshev received three bookings in the domestic cup competition while on loan at Villarreal last season.
This first-leg tie on Wednesday was the first opportunity he had to serve the ban.
Speaking at a press conference, Perez said: "We received nothing, no note, nothing from the RFEF. We'll take this to the appeals, then the arbitration court.
He added: "We checked the situations of all of the players listed in the squad rigorously before yesterday's game.
"Chendo [Real Madrid's matchday delegate] and coach Rafa Benítez want the best for Madrid but they do not think they have made any error in this instance."
Cadiz were expected to report Real to RFEF on Thursday.