The 27-year-old striker spent six years with Los Blancos, appearing in just 16 games for the first-team and scoring two goals, but has conceded that he has fond memories of his time in Madrid, and would like to get one more by claiming a victory with Los Che on Sunday.
"I have not scored at the Bernabeu for four years, and that is too long. But we are working not to only get a goal, but to win as well," told AS.
"I am always looking to improve year after year. I know my performances are judged on goals, and I want to exceed what I got last season.
"I grew as a player and as a person there [in Madrid], and will always be grateful. Real Madrid are a club that gave me a lot.
"Now, though, I come as captain of Valencia and will do everything possible to beat them.
"We must approach the game seriously, be strong defensively and work together. We know how difficult it's going to be against [Jose] Mourinho's team because not only do they attack well, but they also defend brilliantly."