Dinamo are outsiders for one of the top two spots, but Madrid are determined not to take them lightly ahead of their trip to the Maksimir stadium.
Assistant coach Aitor Karanka, who took Tuesday night's pre-match conference in place of the suspended Jose Mourinho, said: "They are a difficult team and we would be mistaken if we think they are a weak opponent.
"It's been several years since they've been in the group stage and in front of their fans they are going to create a lot of problems for us. We will have to work hard if we want to get something positive out of the game."
Madrid midfielder Xabi Alonso added: "We are expecting a difficult game because they have good players.
"We are in the group stages and any opponent is difficult. After so many years without playing in the Champions League this match will be an incentive for Dinamo Zagreb."