The two sides meet on May 17 in the final, but Real are dogged by infighting shown up last week when Pepe criticised Jose Mourinho’s treatment of Iker Casillas.
“Soon we will face two major challenges, the Final Four in the basketball and the Copa del Rey Final in the football,” he told reporters at a charity event on Monday.
“We must be united, give everything and deliver the best for our fans. Our players will.”
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Since Guus Hiddink arrived at the helm, Chelsea have improved considerably after a tricky start to the campaign.
Newcastle United are staring down the barrel of relegation to the Championship for the second time in the past eight years.