The first-leg win in Rome has the Giallorossi with one foot in the final thanks to goals from Mirko Vucinic and Philippe Mexes.
"It was important to win without conceding on home turf, but even then two goals do not put us in a secure position," insisted Ranieri.
"The second leg is not for two months and anything can happen in that time. We can get worse and Udinese can improve. We have to wait and see."
Francesco Totti played the entire 90 minutes and is recovering well from his recurring knee problem.
"If I am to leave the captain out, I always do so with a heavy heart," said the Coach.