The 49-year-old is hopeful that his side can get a good result against the San Siro side, and feels it's too early to say whether they can challenge for the Scudetto
Lazio currently sit joint third in the league table, whereas the Rossoneri have to settle for 11th position, and the coach has faith in his squad.
"I always consider my own team as the favourites," Petkovic was quoted as saying by La Gazzetta dello Sport.
"However, we must realise Milan are more of a threat than the league table might suggest, even though their injury problems favour us.
"Lazio must improve and learn how to react to difficult situations. We have to play at a high level for the full 90 minutes.
"It's too early to talk about the Scudetto. There's still a lot of football to be played. We'll have to wait till Christmas to see whether we can challenge for the title."
Saturday's encounter is scheduled to kick off at 20:45CET.