The 49-year-old is looking forward to Saturday evening's encounter at San Siro and is confident that his side can hold their own
The Stadio Olimpico side currently sit third in the league table, holding a two-point lead over Milan, and Petkovic has stressed that Lazio should be respected following their good performances so far this campaign.
"Milan are a team to fear but maybe they should fear us as well," Petkovic said at the pre-match press conference.
"It will be a very important game and we will try to win it.
"The table says that we are ahead of Milan, and we probably deserve to be two points ahead of them. We have to respect them, though, especially after their win against Barcelona."
Lazio recorded a 3-2 win over Milan in Rome earlier this season.