The attacking midfielder sees no reason why the Rojiblancos should fear their city rivals, particularly in light of the fact that Diego Simeone's troops have home advantage
Even though Jose Mourinho's men have drawn three of their last five games in La Liga, they remain four points clear of second-placed Barcelona.
Los Blancos have not been defeated by their city rivals in 13 years either, but while Diego is well aware of the threat posed by Madrid, the Brazilian insists that the Rojiblancos are not afraid of their neighbours.
"We will be facing the best team in the league but we'll go for the win and we'll see what happens," he is quoted as saying by Radio MARCA.
"Madrid are not invincible, but they are the leaders and you have to respect them. But we must not forget that we are at home and that must motivate us.
"It is clear that going this long without beating Madrid is not normal, but we're not obsessed. We are very motivated and we hope to end the streak."
Meanwhile, Diego's loan spell from Wolfsburg is scheduled to come to an end in the summer, but the playmaker admitted that he is desperate to commit his future to the Spanish capital outfit.
"I want to stay where I am and Atletico want me," the former Brazil international revealed. "I have a special affection for this team; it's wonderful.
"I am committed to Atletico until June 30 and will be until that day, whatever happens.
"After that date it will be up to the directors of Atletico and Wolfsburg. I just hope that they and I end up happy."
Atletico's eagerly-awaited meeting with Madrid gets underway at 22.00CET.
Starting last Friday and continuing for 10 weeks, Goal.com is publishing exclusive extracts from Luca Caioli's new book, Ronaldo: The Obsession for Perfection. The second extract, published on Friday, looks at his first footballing forays on the island of Madeira. Don't miss it!