Coach Francesco Guidolin guided the Bianconeri to a fourth-place finish in Serie A last season to leave them on the cusp of progression to the Champions League group stage for the first time.
Skipper Di Natale insists that despite the magnitude of the fixture, Udinese are ready for the tie.
"I think this is biggest game of all existence for Udinese," the 33-year-old told Gazzetta dello Sport.
"I can think of only the match against Ajax in 1997, but that was played in the UEFA Cup, while here we are in the Champions League.
"At club level, this is the biggest challenge of my career - the satisfaction is comparable only with my national team debut, but here I am, leading a team of twenty-somethings as captain"
Di Natale was the club's leading goalscorer last season with 28 goals.