The Red Devils welcome the Ligue 1 outfit to Old Trafford for the round-of-32 tie having kept four consecutive clean sheets across all competitions.
Valencia wants to extend that run in order to avoid conceding what could prove to be a costly away goal, and hopes to build a "good lead" that his side can take back to France for the second leg next week.
"It's important to keep a clean sheet and to defend well. After that, we know we have some quality players of a very high standard who are capable of scoring at the other end. But yes, we have to be very watchful at the back," Valencia told MUTV.
"We want to win the game because we want to try and go all the way to the final. Let's hope we are blessed with a good performance in these games and we can work hard and win comfortably and send the fans home happy.
"I think it might be a different story in the away leg, though, but here's hoping we can progress to the next round. It's very important for us to go there with a good lead. Everything depends on what happens on Thursday. Let's hope we can win and get the job done; that's what we have to do."
Only two opposition players have scored against United from open play so far in 2017.