Los Blancos travel to Dortmund on Wednesday evening holding a 3-0 lead from the first leg last week, but the Spaniard has called on his teammates to focus.
"This is practically a final. The lead from the first leg is big, but not conclusive. They are going to come out and give their all and we are going to try and win and not speculate," he told reporters.
"This stadium puts pressure on you and the first 15 or 20 minutes will be crucial because they'll be lifted by their fans and will try to score and put pressure on the tie. In the first leg they had chances and the defence will be key tomorrow, but we won't go out and sit back, we'll try and take the lead in the first half an hour.
"Despite everything, we're not going to let fly because they have to score three goals and even more so knowing the damage we can do with our pace and the firepower we have up front."
Madrid have won their last five games in the Champions League.