The Galician side will take on the defending Spanish champions at the Santiago Bernabeu in their sixth La Liga game of the season.
"We will need to play a perfect game to win and Madrid will have to be slightly imperfect," Marchena told AS.
"We must be determined not to let them score early on because if they do then they'll feel comfortable and start to play as they can.
"Right from the start we must do things right to try and win although from then on, depending on how the match is going, a draw would not be a bad result."
Deportivo are currently 10th in the league table with six points from five matches.