Allegri says Milan must play without fear.
"We won't be the sacrificial lambs, the game will start at 0-0," he said. "It will be down to what happens on the pitch.
"We know that we are facing the strongest side in the world, but, in recent years, we haven't done badly against them.
"We need to start the game with the conviction that we can qualify. We need to create the conditions to get through this round.
"We need to limit their possession of the ball so that they can't take advantage of that in the attacking third. They could give us a few opportunities at the back."