Inter will be looking for their first victory in Group H after they were held to a 2-2 by Rubin Kazan two weeks ago - a result which extended their winless sequence at home.
They have since broken their duck at the San Siro with a narrow 2-1 triumph over Fiorentina in Serie A and with the fixture against their fierce rivals on Sunday, it would be easy for Inter to take their clash with the reigning Azerbaijan champions lightly.
That will not be the case, according to veteran full-back Zanetti.
"Obviously the trip to Baku might be tiring but it's also important. We want to win there and only then start preparing for AC Milan," he said in an interview to Sky Sport 24.
Zanetti takes great heart from their first home win of the season and is sensing Inter will continue to improve under the decision to field a three-man defence.
"Fiorentina was our first win on home turf and we needed it - to get a bit of consistency going and to provide a response, the right response, against a great team," he added.
"We spoke to the coach about the fact that with the qualities we have in this squad, three at the back might be a solution. And so it has proved over the last two games, when we've done well."
Neftchi, who claimed a goalless draw with Partizan Belgrade in their Europa League opener, should be buoyed by head coach Andrea Stramaccioni's choice to rest several first-team players including Zanetti, Diego Milito, Antonio Cassano and Walter Samuel.