The former Blancos man is returning for the the first time in more than five years when current club Malaga visit on Wednesday
The Malaga attacker, 31, spent three years at los Blancos before moving to Roma in 2008.
"I have not been in that stadium for more than five years, but I hope people welcome me well there," the former Brazil international told reporters.
"I have fond memories of my time at the Bernabeu, where I even won a league. It is different for you to go to a foreign team then to another in the Spanish league. That's why I think I will be welcomed back well.
"I didn't leave badly from Real Madrid."
The former Sao Paulo and Sevilla star also discussed los Boquerones' inconsistent form of late, which has seen them win three and lose three of their past six Liga matches.
"We are not having the same fluidity of creation and development of the game at home," he continued. "Finally, we create less often, and this is costing us a lot of points."
Baptista also revealed the effect his side's unstable position off the pitch is having on the players.
"We are waiting for the club to make decisions internally and tell us how it will move [forward]," he added. "Though it is difficult, we have to be separate from this and worry about playing."