Trailing 1-0 from the first leg, Sevilla produced a rousing display with three goals in the opening half hour from Ivan Rakitic, Vitolo and Carlos Bacca.
Coke was sent off just after half time for the victors, but Kevin Gameiro's strike saw them move ahead 4-1 on aggregate, meaning Ricardo Quaresma's late consolation had little impact.
Sevilla have not reached the semi-finals of Europe's secondary club competition since 2007, when they won it, but Emery urged caution following Thursday's 4-2 aggregate win.
"We have to continue in this line and know that we must give our best," he told Telecinco.
"We are very happy, but we are cautious because there is still a significant way in this competition. We must go step by step.
"We are very excited about this competition and - after this party - it is to be proud of the team. They are working and they are trying to make it a good season."
Get the best features, fun and footballing frolics straight to your inbox every week.
Thank you for signing up to Four Four Two. You will receive a verification email shortly.
There was a problem. Please refresh the page and try again.