The Real Madrid full-back had not played in the match at the Bernabeu, but joined his team-mates in a 20-minute warm-down session after the game - at which point he was targeted by around 500 Atletico fans who were still in the stadium.
The Guardian reports that as Marcelo came close to them they launched into monkey chants, and when the 25-year-old stopped to look up at them they began jeering, "Marcelo is a monkey."
The player returned to his team-mates, after which his infant son came out to give him a hug - at which point the chant changed in a truly horrifying manner, with the Atletico supporters calling out, "May your father die."
Last year's final, which was held at the Bernabeu, was marred by red cards and brawling and the bad blood between the bitter rivals was still in evidence in a match littered with cynical fouls and gamesmanship.
Atletico climbed to the top of La Liga at the weekend but their first defeat in 25 matches in all competitions since October brought Diego Simeone's side down to earth with a bump.
"We tried but we just couldn't find a way tonight," Simeone said. "They had the good fortune to open the scoring with a shot that was going out of play and that helped them settle.
"The players are feeling as you would expect after a 3-0 defeat. They are down because they are lads who want to win and when they don't they are not happy."
- Sports & Recreation