The 33-year-old former Spain international highlighted the importance of not conceding an early goal in a bid to stop Los Blancos from getting comfortable.
“We will need to play a perfect game to win and Madrid will have to be slightly imperfect,” Marchena said in an interview with AS.
“We must be determined not to let them score early on because if they do then they’ll feel comfortable and start to play as they can.
“Right from the start we must do things right to try and win although from then on, depending on how the match is going, a draw would not be a bad result."
Marchena went on to speak about his admiration for Madrid coach Jose Mourinho and also the pleasure he has taken from watching his career go from strength to strength.
“I knew Mourinho when he started out with Benfica, but not for long. He took over from [Jupp] Heynckes and we won almost every game until he left," he revealed.
“He taught me a lot and I only have good words to say about him. I’m glad how things have turned out.”