Marcelino's men went into the weekend in fourth place in the Primera Liga table after bouncing back from defeat at Real Betis by beating Granada 3-0 prior to the international break.
And Marcelino knows becoming the first team to win at the new home of their likely rivals for a European spot next season would send out a big message about his team's intentions.
Marcelino said: "It will be very difficult but it would be very important for us if we were able to become the first team to win at the San Mames.
"We used to be considered an easy team to beat but now we are very well respected and we like to have that pressure.
"They are a strong and powerful team but our idea is to continue as we have been playing so far with the intention of having a great season."
The hosts go into the game in seventh place and on the back of two games without a win after following a disappointing 2-0 loss in Granada with a 1-1 draw against Valencia last time out.
Veteran defender Andoni Iraola admits his side cannot afford to make any mistakes against Marcelino's buoyant side if they wish to keep their proud unbeaten record at their new stadium intact.
"Villarreal have some fantastic players and if we make mistakes, Villarreal will punish us," said Iraola.
"But we have been doing some great things this season and the results are there. It is important that we continue to focus on the challenge ahead of us."