The PSV boss believes his young side are capable of springing a surprise at San Siro provided they can handle the pressure of the occasion
The Dutch side travel to Italy after securing a 1-1 draw in the first leg thanks to a second-half equaliser from Slovenian forward Tim Matavz.
With a place in the group stages of the Champions League up for grabs, the stakes will be high at San Siro, but Cocu welcomes the pressure of facing the seven-time European champions.
He told a press conference: "We played a good game in Eindhoven and are confident we can also do well at the San Siro.
"It is a wonderful moment for me as well as the team, as being able to measure yourself up against a side like Milan is great.
"This brings tension, but it is a positive tension, a sensation you need in football. My job is also to help my players to experience and use this pressure."
Milan slumped to a 2-1 defeat to Verona at the weekend, but Cocu has warned the depth of talent at Massimiliano Allegri's disposal makes it tough to guess at his opposite number's tactics.
"We are prepared for anything," he added.
"I don't know how Milan will approach the game, whether they will defend or attack. In such an important match with so much at stake, anything could happen.
"Milan have the luxury of being able to choose between great players.
"We have to step on to the field knowing we must control these players. Did we see Milan's defeat to Verona? Yes, we watched it."