Athletic host the first-leg of their Europa League semifinal against United at Sam Mames later on Thursday night.
Nico said, "It's going to be a very tight tie. Tomorrow we expect the fans at San Mames to be behind us from minute one, so we're sure to have a good start to the game.
"United are a great team, they have great players, like Bruno Fernandes. We'll have to do our best to get the win. We're very excited in the dressing room, as is the whole city and the whole Athleticzale family."
Nico admits they've been happy playing under the radar this season.
He added: "My brother (Inaki) said it last year: ‘Under the radar’. I understand the fans' feelings, but we have to be 100% focused on the match and on doing our job. We're going to play our hearts out to get to the final in San Mames.
"Everyone has to look at our achievement, we're a unique club. We have never been relegated and we do everything with local people. We take a lot of pride in that."