The two clubs, with 11 major European titles between them, meet in Holland for the first leg on Tuesday and Cocu is relishing the test.
"I'm curious to compare ourselves with a top club like Milan," he said at a pre-match press conference reported on Milan's website.
"When you play at a high level you have to minimise the error rate because if you make a mistake you get punished.
"I have a clear idea about them, both as individuals and as a team. They have really great quality and it will not be at all easy to deal with them. Balotelli is a very strong player but we can keep under control the other offensive players of the Rossoneri. "
The contest is the only one in the play-off round between two former champions, with Milan having won the competition seven times and PSV claiming the European Cup title in 1988.
The two sides met in the semi-finals of 2004-05, with Milan victorious on away goals despite Cocu scoring twice in the second leg. Milan also won both games in the 1992-93 group stage but PSV took four points from their two meetings in 2005-06.
Milan vice-president Adriano Galliani said: "PSV are a prestigious team, in their history they have had Ronaldo, Romario and (Ruud) van Nistelrooy.
"We know them well but I will not make any predictions."
Elsewhere Lyon, third in France's Ligue 1 last season, take on surprise Spanish qualifiers Real Sociedad.
The Basque club have not competed in Europe since their run to the last 16 of this competition in the 2003-04 season, which ended with a 2-0 aggregate defeat to this week's opponents.
They secured their return with a fourth-placed finish in the Primera Division under former coach Philippe Montanier, who has returned to his native France with Rennes and was replaced by Jagoba Arrasate.
Forward Carlos Vela acknowledged the tough test ahead of his side but is optimistic.
"We knew any opponent would be very difficult, and so it proved," he told newspaper AS. "If you think (Lyon are not as strong as in the past), too bad. If a team is here, it is for a reason.
"We will have to suffer but the team is ready to face this new challenge and will give everything, we will fight to the death.
"The team will go there with a winning mentality. We will fight face to face for victory in Lyon."
Lyon midfielder Yoann Gourcuff, who has started the Ligue 1 season in superb form, said: "It will be a very difficult game against a team that had a great season last year.
"We know well the characteristics of the Spanish teams. They are a good team technically and use the ball very well."
Zenit St Petersburg go into their away leg against Pacos Ferreira hoping history repeats itself for two of their players.
Midfielder Roman Shirokov has twice scored two goals against Portuguese opposition, Porto and Benfica, while forward Hulk's seven games against Pacos for his former club Porto yielded four goals and four assists.
Czech side Plzen face Slovenia's Maribor, regulars in the qualifying rounds but seeking a first group-stage outing since the 1999-2000 season.
Scottish champions Celtic take on Shakhter Karagandy in Kazakhstan earlier in the day.