The Basque outfit will travel to the Spanish capital in fine fettle having remained unbeaten in their last seven matches in all competitions.
"It's a very good game to play in, one of the best games of the year," Llorente told AS.
"We really want to show what we can do against Madrid. We come off the back of some very good results, with many games without conceding a goal.
"The team is working very well in every way but we know that in this game we need to do much more than what we are doing if we want to get something. We are ready and we will fight to stop them."
"If you want to win at Madrid you have to take risks and we will do. They are a very awkward opponent, very fast, with players who can take advantage of small errors."
With Bilbao coach Marcelo Bielsa a keen advocate of retaining possession, lanky Spanish international Llorente believes that his side need to adopt that stance against Jose Mourinho's troops.
"The more we have the ball, the more we will avoid suffering through long periods of Madrid possession; this is best for us," he added.
"It will not be easy because Madrid put opponents under a lot of pressure and so far only Barcelona can match Madrid."