The Super Eagles have not lost a World Cup qualifier at their UJ Esuene Stadium home since 1981, and go into the second leg of the play-off with a 2-1 advantage secured in Addis Ababa last month.
Emmanuel Emenike scored twice in that game, but only after Ethiopia had gone ahead through Behailu Gobeze, to ensure Keshi's caution.
"We have not qualified but are on the verge of doing so and we must not let down our guards at the crucial moment," he told a press conference.
"Ethiopia are still a threat despite losing 2-1 at home because they are a very good side and have been together for up to five years."
Keshi's concern would seem well founded if his Ethiopian counterpart, Sewnet Bishaw, is to be believed.
Bishaw is certain that his side will overcome their deficit and secure a place at a World Cup finals for the very first time.
"Definitely, yes," he said, when asked if his side can progress.
"The principle of the game is to win. We have seen the Nigerians, and the goals we gave away came from our own mistakes.
"We will try to correct those and face them in their country, and we hope to qualify there."
Ethiopia will be boosted by the return of 21-year-old striker Getaneh Kedebe after he missed the first match with a knee injury.
In Saturday's other African qualifier, Ivory Coast will be expected to secure their place at a third successive World Cup finals against Senegal in Casablanca.
Sabri Lamouchi's side won the first leg 3-1 on home turf, with the return match to be played in Morocco due to the ban Senegal were handed following the riots that stopped their African Nations Cup qualifier against Ivory Coast 12 months ago.
Ivory Coast winger Max Gradel admits the prospect of playing at his first World Cup finals is hard to keep from his mind, but is determined not to let the occasion get to him.
"I remain calm. The game is Saturday and it's Saturday that we will play the game. I can not try and play the game before then in my mind," he said.
"The best thing to do is to stay focused and forget the first-leg result.
"Saturday's match is like a final and we have to play together. We have to play for each other, to trust our partners, we fight for our team-mates.
"This is our state of mind, which I felt in the first leg in Abidjan and I hope it will be the same in Casablanca.
"Nothing is yet gained, but we want to make World Cup finals and we will do everything to qualify."