Forest travel to The Den looking for three points to give themselves a chance of finishing in the Championship playoff places.
Davies believes that Millwall, who will secure safety if they win the game, will provide tough opposition.
"Millwall have got a great fanbase who like a wind-up or two," he told Forest's official website.
"It's a very difficult place to go. We don't expect favours from anyone. It will be a tough game. If we're going to win the match we have to go there with confidence and belief, and that's what we'll do."
Forest have not won at The Den since 2002.