A win in Portugal would see the Bhoys through to the knock-out phase of the Champions League after some impressive displays have helped them to occupy second place in their group
The Scottish side have put in some fantastic displays in the competition so far, defeating Spartak Moscow 3-2 in Russia before beating Spanish giants Barcelona 2-1 at Celtic Park.
Consequently, a win would see the Hoops through to the knock-out phase - but the 41-year-old says the Portuguese side have more to lose as they could go out of the competition if they fail to win.
"We are in a great position. There is more pressure on Benfica because they really need to win the game," he told Sporting Life.
"But it is a difficult game, it's a Champions League match away from home and we really respect Benfica, we think they are a really good side.
"But the confidence is there, we have shown that we can play away from home so why not go out and nick that vital point?"
Mjallby expects the Portuguese side to attack from the start, but feels his side have enough quality and confidence from their previous European exploits to cause the home side problems as well.
"They are probably going to go all out and win the game and they are going to be strong at home, a good side going forward, well organised," he added. "But at the end of the day we have picked up a lot of confidence from our away games and we know that if we defend really well we can get something from this game."
A draw against Benfica would also be enough to see the Bhoys through to the next round provided that group leaders Barcelona beat Spartak Moscow.