The Argentine defender has stressed that the Primera Division champions are not to be underestimated ahead of Tuesday evening's Group D curtain raiser
"I played a number of years in the Primera Division and I've learned never to trust Real Madrid," the former Espanyol star was quoted as saying by AS.
The Blancos have won only one of their opening four Liga fixtures, including defeats to Getafe and Sevilla, but the full back knows from personal experience that the capital giants always seem to find a way to recapture their spark from out of nowhere.
"They may seem in bad shape now, but they always have an answer to everything, even in difficult moments. And if they seem to be struggling, it is even more complicated for opponents," Zabaleta said.
"I do not believe that they are physically and mentally suffering. They are going through a delicate spell, but as I said before, that only makes them even more dangerous."