The top two teams in Serie A face-off this weekend.
Zanetti said: "On Sunday we'll win. Is it better to win the Scudetto or the Champions League? We want to try to win both competitions."
The Argentine also spoke of coach Jose Mourinho: "You either love him or hate him. I like him."
And on Italy coach Marcello Lippi visiting Milan training this week while ignoring Inter, Zanetti added: "He's been going to Milanello? He should also visit us to see Mario Balotelli and Davide Santon."