Pepe, 31, has been on the sidelines for the last couple of weeks with a calf injury, which Ancelotti has said is still troubling the centre-back.
Benzema, meanwhile, has a groin problem and is also a doubt for the final in Lisbon.
"Pepe and Benzema are the only two players who are still doubtful for the final. We have to wait and see," Ancelotti told reporters at a press conference.
Los Blancos have won nine European Cups in their history.