There seemed to be no contact but a penalty was awarded and Welbeck sent goalkeeper Gianluigi Donnarumma the wrong way from the spot.
The La Liga outfit took a 3-0 lead to Russian Federation from last week's first leg and showed their class again in the second half at the RZD arena to run out 8-1 winners on aggregate.
Torres converted from the penalty spot to score for the first time since January 28 and struck again five minutes later before substitute Antoine Griezmann completed the rout with an outrageous chipped shot from just inside the area. Maciej Rybus scored for host Lokomotiv.
Inaki Williams pulled one back but any hopes of a Bilbao revival were extinguished with Aritz Aduriz's red card.
Some horribly lax defending from Lokomotiv allowed their visitors to retake the lead on the night two minutes into the second half.
Maxwel Cornet equalized in the 58th minute but CSKA scored twice in five minutes through Ahmed Musa and Pontus Wernbloom to advance on the away goals rule after the game ended 3-3 on aggregate.
Salzburg finished the job it started with last week's 2-1 win at Dortmund, recording a goalless draw at home to the lacklustre Bundesliga club.
Leipzig took control at Zenit as Jean-Kevin Augustin's low shot gave them a 22nd-minute lead. Timo Werner then missed a penalty for Leipzig but the German team still went through 3-2 on aggregate.
Sporting Lisbon needed an extra-time goal from Rodrigo Battaglia to overcome Viktoria Plzen.