The Swans came through qualifying clashes with Malmo and Petrolul Ploiesti to get this far, but there is a definite step up in class against a Valencia team with a strong pedigree in European competition.
Los Che start as group favourites, but have made a stuttering start to their Primera Division campaign under new boss Miroslav Djukic, losing three of their first four games, and are currently on their worst run of results since 1999.
Laudrup is confident his side can emerge with a good result in Spain, and feels their wins over the likes of Chelsea, Arsenal, Liverpool and Manchester City since joining the Premier League ranks shows they can take on any side in the tournament.
He said: "I already know we can beat anyone in this competition. We play against teams like Liverpool, Manchester City, Tottenham and Manchester United. Teams at the same level as Valencia.
"So there is no reason why we cannot beat Valencia in a one-off game.
"If you play Valencia or Manchester United in 10 games, you know they will win more than us. But in one game, or two games in the group stage, it is possible.
"It is an away game against the favourite in the group and we can look forward to it with no pressure at all. We have nothing to lose and all to win."
Valencia's sequence of results has piled pressure on Djukic, with rumours of unrest among the Valencia squad.
The Serbian faced Laudrup during their respective playing careers, and was involved in gifting the Dane's Barcelona side the 1994 Primera Division title.
Deportivo La Coruna needed to match Barcelona's result against Sevilla in order to secure their first leage crown. Barca claimed an easy win, meaning Depor needed to find a winner as their home game against Valencia remained goalless. They were awarded a penalty in the dying moments, it was Djukic who stepped up to take it, and he could only produce a feeble spot-kick which was easily saved.
But Laudrup knows his former rival's current predicament will be what is causing him most concern, rather than recollections of his penalty miss.
"It is a long story and I am sure he remembers it very well," said Laudrup of the penalty.
"It was many, many years ago but I am sure he has other things to think about than that missed penalty.
"It is not nice what he is going through now, but it is part of managing a big club.
"It is great to work with the best players, but sometimes if you lose or only draw games it can become a problem.
"They have lost three games so they have problems, so it is nice for us to have this game first."
Laudrup, who is without former Valencia winger Pablo Hernandez (hamstring) and the suspended Leon Britton, enjoyed the greatest successes of his playing career in Spain with Barcelona and Real Madrid.
He also enjoyed spells managaing Mallorca and Getafe, and admits once day he may consider making a return.
"I am very happy in the Premier League, it's a great experience for me. I never played in the Premier League as a player so I am enjoying my time there and of course we have had great success at Swansea, winning a cup and finishing in the top 10.
"I am very happy here, but you never know."