The attacking midfielder is eagerly anticipating this week's match at the Santiago Bernabeu, and stresses he would be thrilled to score a goal in the tie
The Netherlands international wore the Madrid jersey from 2007 until 2009, before leaving the Santiago Bernabeu side for Inter.
"I have a lot of good memories of my time at Madrid. I still have a lot of friends there, and I have terrific memories of the team and the people at the club," Sneijder told Marca.
"There is no reason why I would have any bad memories of that stage of my life.
"I had a very good season, and we won the league, and I enjoyed my football a lot. And then I had another bad season because of my personal problems."
Nevertheless, the Dutchman made it clear that his past at the Blancos will not stop him from celebrating if he finds the net against Madrid.
"It would be a great thrill to score, and I’m not saying I won’t celebrate a goal, because I think I will. I don’t know how I would react at a moment like that, but clearly it would be a very special goal.
"The Champions League is a very important competition for Real Madrid, but you just can't imagine how we are feeling here. For this club it is not such a common occurrence, and the excitement is at an all-time high here.
"We shall go to the Santiago Bernabeu with the belief that we can do well. We know that it will be a very difficult and complicated game, but we have a good side here. I believe in my team and as long as we don't lose confidence, we will make something of this tie."
Wednesday's encounter will kick off at 20:45CET.