The Argentina international says that he and his teammates have improved since the group stage of the competition, during which they failed to beat their German opponents.
"When we played the first couple of matches we were not as good as we are now," Madrid's official website quotes him as saying.
"Things are going much better, the defence is more compact and we have the extra confidence to do very well in the tie. We know that Borussia are a very similar team to ours, with a very strong counter-attack, but every time we play away from home in Europe we score.
"We know about and have suffered at the hands of their goals on the counter. They are a very similar team to us, with a very strong counter-attack, and they are also on a good run of form. We have to do things at 100% to get through the tie."
Dortmund will host the first leg of the semi-final tie on Wednesday.