The 34-year-old Di Natale has 18 goals in Serie A and is joint top-scorer with AC Milan's Zlatan Ibrahimovic.
"Di Natale's numbers are impressive," said AZ Alkmaar's Jozy Altidore. "In the past few years he has enjoyed continuity in performances. He is part of the elite of football.
"We have to limit him. However, we cannot just focus on Di Natale as Udinese have other quality players."
Udinese will know who Altidore is as well because he not only played for the United States recently but set up Clint Dempsey's winning strike that gave the Americans their first-ever victory over Italy.
AZ beat Anderlecht to reach this stage of the Europa League and set up a first meeting between the sides in European competition.
The hosts, coached by Gertjan Verbeek, are unbeaten in their last nine European games and go into the encounter at the AZ Stadion on the back of last weekend's 3-1 triumph over SC Heracles that saw them remain at the top of the Eredivisie standings, one point clear of closest rivals FC Twente.
Udinese have lost their previous two encounters on Dutch soil. However, the Italians will be looking to repeat their performance that saw them beat PAOK Salonika 3-0 in Greece last month.
That result was their biggest away win in European competition.
"We want to go far in this competition," Udinese midfielder Kwadwo Asamoah said.
"In order for that to happen we must be able to express our best game just as we did at PAOK. We know we face a very difficult game. AZ are leading the Eredivisie standings and that just goes to show how strong they are.
"It's very important we score at least a goal in Holland."
Udinese coach Francesco Guidolin will be bolstered by the return of Di Natale, who missed that clash in Greece through injury.
The Friuli outfit is fourth in Serie A after last weekend's goalless result to Atalanta.
The visitors will be without midfielder Almen Abdi, who is out injured, while defender Dusan Basta is doubtful with a thigh strain.