Madrid's presence in the competition is hanging by a thread thanks to the 2-0 defeat that they suffered during last week's first leg in Germany.
However, despite the need for goals, Zidane has insisted that his side does not need to go all out attack from the first whistle.
"This is an important match, but you need a cool head to play in it. We are not going to win it in [the first] 10 or 15 minutes," he told reporters.
"We must be focused from minute one. We have to score, but we have 90 minutes to do so. We need to be patient."
Los Blancos have reached at least the semi-finals of the tournament in each of the last five seasons.