Los Che dropped into the competition they won in 2004, when it was called the UEFA Cup, after finishing third in their Champions League group and comfortably saw off Stoke in the previous round.
But Emery believes English sides Manchester City and Manchester United rank ahead of Valencia because of their resources and preferred to describe his side as hopefuls.
He told a press conference: "That is an adjective that is more befitting of us than favourites, because we have the likes of Manchester United and Manchester City in the competition.
"We aspire to beat them, but calling ourselves favourites would be a step beyond that. We don't say this out of fear, but rather because of the large economic differences in our respective budgets."
PSV, the UEFA Cup champions in 1978, should provide stiff opposition for Valencia and will go into Thursday's match with something to prove after their 6-2 home humiliation against FC Twente in the Eredivisie last weekend.
But the Dutch team must create history if they are to triumph at the Mestalla having never won in Spain while Valencia are unbeaten at home against sides from Holland.
PSV have been excellent in Europe this season, though, and have not lost in their last 11 continental matches, winning eight, including their last four away matches.
Valencia got back on track domestically after two successive defeats by beating Granada last weekend but Emery thinks there is still plenty more to come.
He said: "We want to take a step forward in our construction of play. We regained certain important feelings about our play last Sunday, but it wasn't a complete game.
"Tomorrow we have the chance to take this further and regain our security, ball control and the fortress mentality of Mestalla.
"PSV are a team with a lot of European history and a strong opponent on the pitch, which makes this a difficult but attractive tie."
The hosts will be without long-term injured trio Ever Banega, Sergio Canales and Hedwiges Maduro while full-back Miguel is also likely to miss out.
PSV coach Fred Rutten, meanwhile, has been boosted by the return to fitness of several players, with Erik Pieters, Orlando Engelaar and Kevin Strootman all fit.