The Turin side have drawn their opening two games in Group E, impressively away to Chelsea and less so at home to Shakhtar Donetsk, and go into the match in Denmark two points behind the top two.
The hosts appear comfortably the weakest team in the pool after consecutive defeats and Marchisio admitted the Italians cannot afford to drop points against them.
"After two draws we have to win," he said on the club's official website. "This is a crucial game for us and we cannot make mistakes."
Juve's Champions League form is in contrast to their showings in Serie A where they have taken 22 points from a possible 24 to head the standings.
But Marchisio warned they cannot be complacent.
"In the Champions League there are never any easy games," he said. "If Nordsjaelland reached the group stage it's because they deserved it. We'll have to be careful, we will face a team that play good football and have good players."
Assistant boss Angelo Alessio returned to the bench for the weekend win over title rivals Napoli after his suspension for match-fixing was reduced and he will look after the side again as they await the return of head coach Antonio Conte in December.
Alessio echoed Marchisio's warning, saying: "We have great respect for the Nordsjaelland. They have good players technically and demonstrated that against Chelsea despite the defeat."
The Danes, though, were comprehensively beaten 4-0 at home by the Londoners in their last Champions League outing and sporting director Jan Laursen accepted Juve would prove just as tough opponents.
"They are one of Europe's strongest teams," he said on the club's official website. "Juventus are currently top of their league, so it is like it was against Chelsea, a test at the highest level."
Juve have travelled without defender Stephan Lichtsteiner and midfielders Simone Pepe and Kwadwo Asamoah.