The La Liga outfit secured a 3-0 win to take control of the tie ahead of next week's return fixture in Piraeus.
Rios, who scored the opening goal at the Estadio Ciudad de Valencia, said that it will not be an easy game against a team whom he believes belong in the Champions League.
"We will go to Greece with a very good result, but knowing we will have a difficult game there," the 31-year-old told UEFA.com.
"We are not afraid of what is known as 'Greek hell', but we have respect for them. Olympiacos command respect. They are a UEFA Champions League team."
Levante are currently ninth in La Liga.