Extra time ended with the scoresheet still blank after a tense but dull match. A brilliant save by the Auxerre goalkeeper, Lionel Charbonnier, from a shot by Michael Debeve proved decisive, earning the Burgundy club a 5-4 win in the shoot-out.
"It was a tough match which could have gone either way," said Sabri Lamouchi, Auxerre's international defender.
Rennes were the only First Division side to bow out to a club from a lower division. The team from Brittany were beaten 1-0 at home by Second Division Troyes through a Stephane Laquait goal after 59 minutes.
Paris St-Germain were made to work hard by Third Division Fecamp before late goals by Cyrille Pouget and Julio Cesar Dely Valdes gave them a 2- 0 win.
Benfica beat Gil Vicente 1-0, ending a series of four games without a win, and came closer to rivals Sporting, who drew at Farense 0-0 in the battle for second place in the Portuguese championship.
Porto retained their commanding lead after an easy 2-0 win over struggling Uniao Leiria at home.
Benfica gave a lacklustre performance and their Swedish striker Martin Pringle scored the match's only goal 10 minutes from the end when Gil Vicente were down to 10 men.
Pringle shot into the net from close range after taking a long pass from Glenn Helder, who is on loan from Arsenal. Gil Vicente's striker Carlitos Cunha was sent off in the 73rd minute after two bookable offences.
"Our players were poorly prepared physically, but I hope that the team will be in good shape when we meet Fiorentina in the Cup-Winner's Cup quarter-finals next month," said Manuel Jose, who replaced Brazilian Paulo Autuori as Benfica coach a fortnight ago.
Porto had an easy task against Uniao Leiria, who ended the match with nine players after the dismissals of defender Paulito Matias and striker Mario Tilico for bookable offences.
Jose Barroso scored from a free-kick three minutes before half-time and the Brazilian striker and league's top scorer Mario Jardel struck in the 41st minute, raising his tally this season to 17.