The Dortmund striker says the tie is not over just yet and has urged his teammates to step up their game.
The Bundesliga side recorded a 4-2 win in the first leg, but Lewandowski has stressed that BVB must do better than in this weekend's Bundesliga defeat against Borussia Monchengladbach if it is to hold off Zenit in the return at the Signal Iduna Park.
"We're not in the quarterfinals yet, even after winning the first leg 4-2. We need to be on our toes and mustn't underestimate Zenit," the Poland international told Bundesliga.com. "I hope nothing happens that could jeopardize our passage into the next round, but the tie isn't over and we can't afford to play like we did against Gladbach.
"We will do everything to win the return leg in front of our own fans on Wednesday. We don't want to lose in Dortmund again."
Lewandowski has netted six goals in seven Champions League appearances this season.