Reports began circulating in the Spanish media shortly after Madrid left the team hotel that their bus had been struck by an object.
While confirmation was not relayed by Madrid, footage of the bus showed the damage once it had arrived at Anfield, with one window on the vehicle missing.
Although it is unclear who is responsible, Liverpool were charged by UEFA in 2018 after Manchester City's bus was pelted with bottles and cans on its approach into Anfield ahead of a Champions League knockout clash.
The Reds were fined €20,000 for the actions of their supporters on that occasion.
Liverpool are 3-1 down from the first leg in Madrid.