Juanfran started both legs of the round-of-16 Champions League tie against PSV Eindhoven; on 15 March 2016, in the second match, he took the decisive penalty in the 8–7 shootout win (0–0 on aggregate). In the final of the competition, also decided on penalties after a 1–1 draw in Milan, he was the only player to fail to convert in an eventual defeat to his former club Real Madrid.