Atletico claimed a first La Liga title since 1996 with a 1-1 draw at Barcelona last Saturday and have the chance to make it a memorable double with victory at Estadio da Luz in Lisbon this weekend.
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"We have to be super-concentrated to beat Real Madrid," Koke told AS. "They have one of the best squads in the world and it will be very, very, very difficult to play against them.
"We were able to win at the Bernabeu and draw at the Calderon in La Liga this season, but they eliminated us from the Copa del Rey. It will be a very tight match where we will have to fight as if it were the last game of our lives.
"They are the favourites with such a large staff and all that money, but we will play with our humility, our heart and our will.
"They have one of the best attacks that there is. The entire team will have to defend to death."
Koke has been linked with moves to Barcelona and Manchester United, but the 22-year-old insists he has no desire to leave his boyhood club.
He added: "I am very happy here in my home and there is nothing more to say."