The two sides are locked in a La Liga title battle but will on Tuesday divert their attention to continental matters.
And Martino is hoping his side can claim an advantage to take to the Spanish capital next week.
"We have to try to win and not concede to give us a margin of comfort to play in Madrid," he told reporters.
"The first thing we have to do is win.
"What we have to be careful about is Atletico's counterattacks.
"You have to know that there is a second leg, we have some space to score. We have to play with a lot of order and we'll create more chances."
The Argentine went on to praise Atletico and the progress they have made under Diego Simeone.
"Of course Atletico played well against Athletic Bilbao to demonstrate what they are doing this season and last. The level has been the same almost all season. They are still in two competitions and they are very strong and confident.
"In the games that we have had to play against them they've shown they are a very tough opponent."
Martino played a straight bat to the controversy surrounding the refereeing decisions in the recent games against Espanyol and Real Madrid.
"We have played with different referees, we can play in any game situation and regardless of the referee," he said.
"It seems that the wins are subject to refereeing decisions. I'm trying to stay out of the referee controversy, I have nothing to say, I think it is enough."