The Spaniards, who accounted for Manchester United in the last round and who have proven to be one of the positive revelations in Europe this season, have more than one foot in the last four after their emphatic victory in Gelsenkirchen last Thursday.
But Schalke are not going to Bilbao just to make up the numbers, according to their director of sport Horst Heldt.
"It is not only about fulfilling an obligation in turning up," he said. "We are here to deliver a good game to the fans who will follow us.
"In view of the first leg, we must be humble, but not when we get on the field.
"The lads are still blue in the face when they think of the first leg, but we don't want to come out with wild proclamations - the focus is on the game and we have got to have the right answers then."
A year ago to the day, Schalke beat Inter Milan 5-2 to reach the semi-finals of the Champions League and that result gives Heldt belief that history can repeat itself.
"I don't really believe in miracles, but that is not a bad omen, and I do like to believe in good omens," he said on his club's website.
While Schalke refuse to believe the tie is over, Athletic are not taking anything for granted either.
"We have got to show the maximum respect for them," said midfielder Markel Susaeta to reporters. "Schalke only need half a chance to score a goal.
"They have to score three, but if they score a goal first, then it could make things complicated.
"They have great strikers like (Jefferson) Farfan, (Klaas Jan) Huntelaar and Raul and we cannot underestimate them."
Athletic can reach the second semi-final of a European competition for the first time since losing the UEFA Cup final to Juventus in 1977.
"We know this is a chance for us to make history," said Susaeta, who is a likely starter for Marcelo Bielsa.
The Argentinian coach is without the suspended Ander Iturraspe, however.
Schalke have made the trip without Christian Fuchs and Julian Draxler, who are injured, meaning Spanish full-back Sergio Escudero could start.