The Bundesliga side shocked Zinedine Zidane's men in the opening clash, with goals from Ricardo Rodriguez and Maximilian Arnold sealing a famous victory.
But Dante knows the tie is far from over and that Wolfsburg will have to battle hard to prevail at the Santiago Bernabeu on Tuesday.
"Every game is a different one. We have to be always confident on the job that we do, but of course, it will be a very tough match and we have to be ready for it," he explained to Goal.
"[Zidane's Real Madrid] are a great team, one of the best in the world."
Cristiano Ronaldo saw an early goal ruled out for offside in Wolfsburg and endured a generally frustrating evening toiling under Dante's watchful eye.
But the Brazilian insists that keeping a player like Ronaldo quiet requires a great effort from the entire defence.
"I think as a defense unit we were able to play well. It was just one game," he continued.
"The return leg will be very difficult and we will need to work hard and well again."
Dante also backs Julian Draxler to achieve great things in his career after the 22-year-old shone against Madrid last week.
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"Draxler is a great player and the sky is the limit for him. He has talent and depends on himself to keep working hard to be a top player," he affirmed.
Dante and Wolfsburg take on Real on Tuesday, with the Germans knowing that they are assured of progress to the Champions League semi-finals for the first time if they avoid losing by two or more goals.