Madrid are the most successful team in the history of Europe's most prestigious club competition with 13 wins to their name, four of which have been recorded over the past decade.
The Blancos' 12-year wait for 'La Decima' came to end under Carlo Ancelotti in 2013-14, and his successor Zinedine Zidane went on to deliver three successive Champions League crowns between 2016 and 2018.
However, Zidane walked away from his post following the Madrid's last showpiece victory over Liverpool, and they suffered a surprise early exit in the round of 16 to Ajax in 2019 which seemed to mark the end of an era.
The Frenchman was lured back to Santiago Bernabeu shortly after that defeat, and although he was powerless to prevent a trophyless 2019-20 campaign, the Blancos bounced back to win La Liga under his stewardship last season.
Madrid fell short in Europe again though, as Manchester City knocked them out 4-2 on aggregate in the first knockout stage, outplaying Zidane's men at both the Bernabeu and Etihad Stadium.
The Spanish giants have been drawn in Group B alongside Shakhtar Donetsk, Inter Milan and Borussia Monchengladbach in the group stage of the competition this time around, and Valdano is not confident about his old club's chances of success.
"Madrid are not among the favourites to win the Champions League. They are in a moment of transition and it is very difficult because you depend on many things," the former Madrid forward and general manager told Movistar Plus.
Valdano went on to express his belief that clubs like City lack the necessary experience to win the Champions League, and that the English club's favourable draw in Group C against Porto, Olympiacos, Marseille will not boost their chances of winning the trophy for the first time.
"You have to have that history to go out and win the Champions League. You need that extra something, that place in history," he added.
"It is evident that City's group is easy, but nobody can have the obligation to win the Champions League."