The Rossoneri take on their rivals Inter Milan at the San Siro tonight, in a fixture where they will be the home team.
Bojan, who has played in the Rome derby and an El Clasico, said that it is important for Milan to take three points in order to please their fans.
"Of course we have to win the derby to make our fans happy and also because we need the three points," the Spanish international told Milan Channel.
"I am very happy to be experiencing the atmosphere of this game directly. Of course I'd love to play in the Milan derby.
"In Europe there are several really important derby matches that everyone pays attention to. The atmosphere in the Rome derby is also wonderful, as the fans start talking about it a month beforehand."
The 22-year-old joined Milan on a season-long loan from Roma.