Stoke will be playing in their first ever FA Cup final after demolishing Bolton Wanderers 5-0 in the semi-final and Pennant believes the final will be "one of the toughest games" his team-mates will ever face.
Although Manchester City will go into the game as overwhelming favourites, Pennant is confident that his team will perform on the day, pointing to recent successes as reason to be optimistic.
He told reporters: "We will be underdogs next week, there's no doubt about that, but people said we were the underdogs yesterday [against Arsenal].
"We like it that way. We always seem to be the underdogs but that title suits us, it takes a bit of pressure off.
"In recent weeks we have proven that we can cut it against the top teams in this division.
"We held Chelsea to a draw and we beat a very good Arsenal side pretty comfortably, so we are in fine form at the moment.
"We need to make sure we keep going though. A lot of people asked questions as to whether the 5-0 win against Bolton would hinder our progress in the league but I think we have answered that with our performances.
"People keep asking questions of us and we keep answering them. We will need to do that again on Saturday because it will be one of the toughest games of our lives."