Bojinov played eight seasons in Serie A before joining the Portuguese outfit this summer from Parma.
"It's going to be a difficult game for us," Bojinov said.
"Lazio have great champions like (strikers) Djibril Cisse and Miroslav Klose.
"We will have to keep a close eye on them because they can be lethal in the area. I know many of Lazio's players and I know they have a lot of quality.
"But we also have a good team and we want to do well."
Sporting won 2-0 at FC Zurich to go two points clear of Vaslui and Lazio at the top of Group D after the first round of games.
Domingos Paciencia's men go into their midweek encounter in buoyant mood. Last weekend's 3-2 triumph at Rio Ave was their third straight triumph in the domestic league and lifted the Lisbon outfit to sixth in the standings.
"Our coach is doing a great job considering the club made 19 reinforcements this summer," Bojinov said. "We are in the right path and we are growing as a team."
Rivals Lazio have had a mixed season so far both domestically and in Europe.
They travel to Lisbon looking to make amends for their disappointing 2-2 home draw against Vaslui in their group opener.
In Serie A, Edy Reja's men lie 10th with only five points from four matches.
The Rome side were held to a goalless home draw by Palermo last weekend.
"For the first time this season we have not conceded a goal and that is a positive sign," Reja said.
"However, we created so many chances against Palermo and we didn't make the most of them.
"Against Sporting, we will need to take advantage of the spaces they give us and be more aggressive going forward."
Lazio captain Tommaso Rocchi is set to partner Cisse in attack.
The Italian veteran forward is looking to score his 100th club goal at Sporting on Thursday.
The visitors will be without suspended defender Luciano Zauri.