The Spanish giants have been disqualified for picking Denis Cheryshev while he should have been serving a ban, but the club maintain the RFEF failed to notify them and the player.
Real Madrid have confirmed they will appeal the ruling which eliminated the club from the Copa del Rey, on the grounds that Denis Cheryshev was not told of his suspension.
The Russian scored on Wednesday against Cadiz, but it later emerged that he should not have played due to a ban valid from his time at Villarreal.
According to a club statement, however, the Merengue hold that the punishment is incorrect.