Bruges shocked Milan by beating them 1-0 at the San Siro stadium two weeks ago -- a result that pushed the Italian club off the top of Group H.
"We saw in the first leg that there's no such thing as an easy match anymore," defender Giuseppe Pancaro was quoted as saying on Milan's official website on Monday.
"But we're going to Belgium with high morale because with the exception of the game at the San Siro against Bruges -- which we didn't deserve to lose -- we've played well this season."
After three matches, Dutch side Ajax lead Group H with six points, two ahead of Milan and Bruges. Celta Vigo prop up the table with two points.
Milan coach Carlo Ancelotti denied victory over Bruges was crucial for his side to progress to the knockout phase of the competition.
"This isn't the moment of truth. We're not on the verge of going out," he said.
"We're still second in the group with three matches to play. Of course this is an important game and we want to win it, but it won't be easy."
