Depay has been sidelined for eight weeks after suffering a groin tear just 18 minutes into PSV's 3-1 Eredivisie defeat to PEC Zwolle last Saturday.
The 20-year-old impressed for Netherlands at the World Cup and has already found the net eight times for PSV this season.
But despite Depay's superb start to 2014-15, Cocu has been quick to play down the impact of his absence.
"Memphis is an excellent player with specific qualities," Cocu said. "But the loss of one player should never be disastrous for a whole team."
PSV will be heavy favourites for their Group E clash at the Philips Stadion, but Cocu is keen not to underestimate Portuguese outfit Estoril.
"Estoril is a team that wants to play football," he added. "It is not a team that simply leans on the counter.
"They have lots of dynamics and are physically very strong. Therefore, we must concentrate all match.
"We know where opportunities lie. We’re going to the match with the goal to win it.
"On the other hand we must not be naïve and leave the back door wide open."