The coach is worried that his side's favourites tag could come back to haunt them and says Atletico must remain level-headed throughout
The Rossoneri have had a poor season so far and despite hiring Clarence Seedorf to replace the struggling Massimiliano Allegri in charge at San Siro - they still sit ninth in Serie A.
In contrast, Atletico sit third in La Liga, level on points with second-placed Real Madrid and leaders Barcelona, but Simeone remains fearful of Milan's European pedigree.
"Tomorrow it will be a wide open game where anything could happen," Simeone told reporters on Tuesday.
"I don’t want to make predictions, but this tie will be important ahead of the second leg at the Vicente Calderon. I expect to see a great Milan side and above all I fear their history, which on nights like this can really count. We’ll be facing a great rival.
"We do not feel like the pre-match favourites and we've got to prove our ability on the pitch. It won’t be easy, because the Italian sides always make the most of their scoring chances. We will need to be intense and focused."
Milan have conquered Europe seven times, while Atletico's best finish was as runners-up back in 1973-74 in the tournament's old format.