The reigning European champions will face Bayern at the Allianz Arena in the first leg of their last-four tie on Wednesday night.
"I don't think there are any favourites. It's a semi-final - it's completely different to last season. It's a different match," Zidane told reporters. "We are in the semi-finals and we want to play a good game. We are prepared for that, knowing that we are going to have to suffer.
"We will need a big performance against a strong opponent. Bayern are a great club with great team spirit. I have no doubts that mentally we will be at 150%."
Madrid recorded a 6-3 victory over Bayern when the pair met in the quarter-finals of last season's competition.