None of the quartet took part in full squad training yesterday, with Ronaldo exercising on his own out on the pitches at Valdebebas while Bale, Pepe and Benzema trained alongside long-term injury victim Jese indoors.
Ronaldo had been due to start Madrid's final Primera Division game of the season at home to Espanyol on Saturday after recovering from a hamstring injury but ended up sitting out the match after complaining of discomfort in the warm-up.
Pepe also did not feature against Espanyol as he continues to recover from a calf injury while Benzema was replaced during the second half of the 3-1 win with an adductor problem. Bale did play the full 90 minutes, though. When asked about the fitness situation, Ancelotti revealed his only serious concerns were Pepe and Benzema. "They're the only two players about whom we have doubts," he said. "I'm neither optimistic nor pessimistic. I'm a realist and, as things stand right now, of course they wouldn't be able to play.
"We have four days to the final and we'll wait and see. If Pepe can't play, [Raphael] Varane can play in his place. If there's a risk of injury it's best to leave them out."
On world-record signing Bale, who has scored 21 goals in his first season at the Bernabeu despite being affected by various injuries, Ancelotti said: "He's done specific work in the gym. He didn't need to come out on the pitch in today's session. There's no problem, and I think those two [Bale and Ronaldo] are going to be able to play."
Asked about his fitness at Tuesday's media open day, Ronaldo said: "I will be there on Saturday. I'm still not 100% right now but I will be at the final. It's something very important, we work throughout the year to play in finals and win them.
"Nobody wants to miss a final that we've been searching for for many years. I want to help Real Madrid achieve it. I'm confident I'll be 100% for the final."
"La Decima [the 10th] is the trophy that all Madridistas want. I signed for this club to win titles like that."
Sergio Ramos, meanwhile, tried to claim his side - which earns many times more wages than Atletico - are underdogs. "We are up against a great team in Atletico Madrid who, from my point of view, are the favourites," he said. "They are the deserved current league champions."