The reigning champions, who are bidding to win the competition for a third successive year, are firm favourites to book a trip to Kiev after recording a 2-1 triumph on German soil last week.
However, Zidane and Madrid have experience of being on the wrong end of a Bayern backlash, having found themselves in the same situation at the quarter-final stage last season.
Trailing 2-1 in the tie, the Bundesliga giants forced extra time by mirroring the result in the Spanish capital, only to eventually lose 4-2 at the Santiago Bernabeu following the 84th-minute dismissal of Arturo Vidal.
"We know they are going to come here and put in a big performance," Zidane told the media ahead of Tuesday's heavyweight clash.
"They're a big club and a great team. We know what to expect – that's the reason we need to be well prepared and put in a big performance ourselves.
"If we do that, we can achieve big things. But I've no doubt Bayern will come here without any complex whatsoever, allowing them to put in a big performance.
"The key for us - and what we have to do - is to think about winning the game, about going onto the pitch wanting to do that. We need to go out to score quickly and that's what we'll try to do."
Madrid scored three away goals in the last round against Juventus, yet still needed a controversial late penalty from Cristiano Ronaldo to prevail 4-3 on aggregate following a dramatic collapse in the second leg.
They were also held to a 1-1 home draw by Tottenham in the group stage of the tournament, though Zidane dismissed any suggestion his team struggle to cope with the pressure of playing in front of their own fans.
"Given the choice, I'd play every game at the Bernabeu," the Madrid boss said.
"We have a second leg at home and we are proud to be playing the semi-finals in front of our own fans."