The Argentine shot stopper feels the Rossoneri remain a big team for what they have achieved over the years, and is confident that his side can progress
The Serie A side have been struggling to find their best form in the opening months of the 2012-13 campaign, but the Argentine feels they should not be underestimated as the Andalusians aim to maintain their perfect record in Europe.
"We can't afford to put in a bad performance and have to show a certain degree of respect for an opponent with such a long history like Milan," Caballero told Marca.
"It will be an historic match and we will be extremely motivated to do well. Taking on big teams is a big motivation and we don't fear any one.
"We had the intention to do well in the Champions League when we qualified, and it's now our objective to reach the knock-out stages, either by finishing first or second in the group."
Wednesday's match at La Rosaleda is scheduled to kick off at 20:45CET.