Juventus won the first leg of their semi-final tie 2-1 thanks to Alvaro Morata's goal in the ninth minute and Carlos Tevez's penalty in the 58th.
But, Allegri is wary of the fact that Madrid are playing on home soil and will go all out to ensure they take one step closer to retaining their Champions League title.
"We have to focus and treat it as it's the most important game of the year," Allegri told reporters. "We have to try to secure qualification in Madrid that won't be easy for sure, but it could also take us to an unexpected final.
"Juventus are having a good spell from a physical point of view."
Juventus' last Champions League final appearance came in 2003 when they lost to AC Milan in a penalty shootout, and Allegri is determined to go all the way this time and lead his side to their first Champions League title since 1996.
"The club hasn't played a game of this importance for 12 years, but I believe we now have the experience and confidence to play well at this level," he said.
"On Wednesday we will need to deliver a performance that is almost perfect. I won't say perfect because that is impossible in football, but for sure we'll need our best performance to go through."