The PSV boss knows they are in for a tough test against the Serie A giants, while Lyon's president is wary of Real Sociedad's threat
The Dutch outfit, who finished second in the Eredivisie last term, beat Belgian side Zulte-Waregem in the previous round of qualifying, to set up a meeting with Massimiliano Allegri's men.
Cocu's side will go into the two-legged contest as underdogs, but the 42-year-old is relishing the opportunity to try and knock out one of Europe's biggest clubs.
"It will be a difficult task for sure, but also a nice challenge which will allow us to see how we measure up to them," he told reporters.
"They might be busy reducing the age of their squad, but it is still of a high level."
Elsewhere in Friday's draw, Olympique Lyonnais were paired with Real Sociedad with a spot in the group stage up for grabs and president Jean-Michel Aulas is wary of the Spanish side.
"It's a tough draw because we will face the team that finished fourth in La Liga and the second leg is away," he told reporters.
"You should not expect an easy draw considering the quality of the opposition, but it's possible for us to advance."
Sociedad coach Jagoba Arrasate is expecting a tight encounter with les Gones, who beat Swiss side Grasshoppers 2-0 on aggregate in the previous round.
"This will be an attractive and even tie and one that will be decided by the smallest of details," he commented.
Fenerbahce will host Arsenal in the first leg of their much anticipated tie on August 21, and captain Emre Belozoglu believes their rowdy home supporters could have a significant impact on the end result.
"If we can compete well, I believe we have a chance against them," Emre explained. "We want to gain an advantage by getting a good result in the first match with the support of our fans."