Madrid had to settle for a scoreless draw in the first leg of the semi-final tie, but will book their place in the showpiece in Milan with a win at the Santiago Bernabeu on Wednesday.
Zidane has acknowledged it will not be easy for the Liga giants, but insists elimination is not an option at this stage.
"It will be a failure if we do not reach the final. We are going through a good run of form and we will give our all to progress, but it will be very difficult," Zidane said at a media conference.
"We are desperate to make it to the final, though, and it will be a failure if we do not make it.
"It will be even more difficult than in the first game, because it will all be decided on Wednesday. We are not thinking about scoring two or three goals within 15 minutes like we did against Wolfsburg. We know that we will suffer for 90 minutes - and perhaps even longer.
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"The most important thing is that we have to be prepared for a difficult task. Hopefully we can replicate our performance from the second half at the Etihad and then score some goals.
"We will try to play good football, press high up the pitch and play with an intensity worthy of a semi-final game. It will not be easy just because we have the home advantage."
City will be relying on Sergio Aguero and Kevin De Bruyne to hurt Madrid's chances, but Zidane refused to single out one player as their main dangerman.
"Aguero has all my respect and he is a key player for City, a very good player, but we will not do anything special to stop him," he added.
"The most important thing is what we are going to do on the pitch. Aguero is essential, but so are City's other players.
"De Bruyne? I am not focusing on one specific player. A very good team is coming to the Bernabeu, but we will try to progress to the final."