The Madrid side will secure a seventh place in La Liga if they overcome Marcelo Bielsa's side and Levante beat Real Betis.
Jemez, who has just signed a new two-year contract with the club, said: "We don't want to lose our focus or distract ourselves because it's not worth it.
"We want to concentrate on the game, finish the season in the best way possible and give our fans something to cheer about."
The Basques have already secured their place in the top flight for next season and cannot qualify for Europe, but Jemez is certain they will take the game seriously.
"If it was any other team there might be a chance that they'd be relaxed, but Marcelo Bielsa will always play with honour, and that's important to remember," Jemez said.
"I'm not expecting a relaxed Athletic, I'm expecting them to come here wanting to win.
"We are motivated by the thought of getting the points and I hope that this is a factor that tips the balance in our favour."
Rayo's future next season is uncertain after the Spanish Football Federation denied them the UEFA licence that they need to compete in Europe next season because of outstanding debts.
The club has declared their intention to take their case to the Court of Arbitration for Sport if they qualify for Europe and if they finish seventh they would in theory be entitled to an automatic place in the Europa League. If they finish eighth they could qualify for Europe if Malaga's UEFA ban is upheld, and Rayo's is lifted.
Jemez emphasised how much he wanted the club to compete in Europe but said he did not want Malaga to miss out.
"It would be an awful shame if we weren't allowed to compete because of an off the field issue," he said.
"If we finish seventh it'd be better than eighth, and having 55 points would be better than 52. If we finish eighth we'll have to wait for the decision of Malaga's appeal.
"I wouldn't wish bad news on anybody and from the bottom of my heart I hope that Malaga are allowed to play in Europe, because they have earned that right on the pitch."
Rayo full-back Tito is an injury doubt for the match, while Athletic will be without midfielder Iker Muniain, who was sent off in last week's defeat to Levante.