Roma, who reached the semi-finals of last season's Champions League before losing to Liverpool, will be looking to collect all three points from Madrid in their group opener.
Roma will enter the match off the back of a three-game winless run in Serie A, but Lopetegui has insisted that his team will have to be at their best to overcome the Italians.
"Last season, Roma knocked out Atletico Madrid in the group stages and then Barcelona in the quarter-finals, we should not underestimate them under any circumstances," Lopetegui told reporters.
"That season they were semi-finalists but now I believe they have made improvements and are a stronger team - now they have more depth with the same coaching staff."
Los Blancos are bidding to win a fourth straight Champions League title this season.