The visiting Belgians made an excellent start to their campaign as a Matias Suarez hat-trick helped them to a 4-1 success over AEK Athens in their opener.
Lokomotiv were also victorious as they beat Sturm Graz 2-1, but Couceiro believes Anderlecht will provide a much sterner test, although he says his side can get a result if they believe in their own abilities.
He told the club website: "The only way you guarantee victory is for the players to have confidence in their abilities.
"We are not afraid to lose when we go on to the field, although I admit that Anderlecht are the favourites in our group.
"I think they are a really serious contender. They consistently challenge for the championship in Belgium, and have significant experience in the international arena, much more than we do.
"In addition they are a team who have long been managed by their current coach, I have worked in Moscow for just three months.
"But this does not mean that in the home match we will play for the draw.
"We always try to win, so it will be on Thursday.
"Every game starts 0-0. We will start the match with 11 players, the same as our rival.
"It is important to remain calm under pressure and I believe that much of tomorrow's [Thursday] match will be decided by the concentration of the players."
Lokomotiv will be hoping to repeat their 5-1 victory from the last meeting between the two sides during the 2001/02 Champions League.
But they will need to keep a close eye on Suarez, who insists he feels stronger than ever after finally getting the chance to make an impact at the club with the likes of Romelu Lukaku having moved on.
"I feel better than last season," he told uefa.com.
"I have built up some muscle but, more importantly, have become stronger mentally.
"My relationship with the coach has also changed. Ariel Jacobs gives me a lot of confidence and also talks with me more. Our conversations are not too long but every week he asks how I am and how I feel. That shows he believes in me."