The two sides meet in the Spanish capital having each taken three points from their opening two matches in Group A.
Spanish champions Madrid head into the game as favourites, but Simeone is expecting a difficult encounter with their Swedish counterparts.
"I absolutely do not think that anyone within our squad thinks this will be easy," the former midfielder is quoted as saying by Goal.com.
"It's normal when people have seen little football and little of Malmo that they think it could be easier, but we have followed them, we have watched them and we have a lot of respect for them."
Atletico are currently in fifth place in the La Liga table thanks to five wins and just one defeat from their opening eight matches.