The Belgian side have been struggling in their domestic league so far this season and have managed just seven points from their first six fixtures.
However, Vardy is not taking Brugge for granted and is expecting a difficult game at the Jan Breeder Stadium in Group G.
"I think every game in our group will be tough," he said.
"It doesn't matter who you are playing, they've qualified for a reason - because of how well they did last year and they'll only want to improve this season.
"You've just got to turn up and make sure you're on the ball when the game time comes, and hopefully pick the wins up."