Real were stunned by Milan in Madrid a fortnight ago and know they cannot risk dropping another three points against their group opponents.
"For Real Madrid and for all of us it is a pleasure to be in a city as beautiful as Milan and to play against a team like Milan. But even if we are friends we will beat them," said Perez.
"My dream is to be playing in the Champions League final with AC Milan, which is my second favorite team in Europe.
"AC Milan and Real are two great teams and two great friends."