The left back had to be carried off on a stretcher after a challenge with striker Eder just over an hour into the 5-1 win against the Russian side.
"Filipe Luis underwent medical tests as soon as he arrived back in Madrid, confirming that he has broken his left leg," a Atletico said in a statement on Friday.
Atletico, who booked their place in the Europa League quarter-finals with an 8-1 aggregate victory against Lokomotiv, did not say how long the Brazilian is expected to be out of action, but the injury looks likely to rule him out of the World Cup finals in Russia.
The defender has been capped 31 times for his national team. His last appearance coming in Brazil's World Cup qualifier against Colombia on Sept. 5, having been ruled out of coach Tite's past two squads through injury.
The latest setback leaves Atletico, who are second in La Liga, with only 16 outfield players in their first team squad as they seek to close an eight-point gap on leaders Barcelona in the final stretch of the campaign.
(Reporting by Richard Martin; Editing by David Goodman)
