The Nerazzurri travel to the Friuli stadium in search of three points which could prove crucial in their battle for Europe.
Inter beat Siena 2-1 on Wednesday and sit six points behind Lazio, who hold the last Champions League qualifying spot with six games left to play.
"It's going to be a complicated game," Zanetti said. "We face a great team, not just for what they have done this season but because of what they have built in recent years.
"We can only congratulate Udinese but warn them that we are going to Udine with the idea of returning to Milan with a victory."
Inter have taken seven points from a possible nine since the arrival of Andrea Stramaccioni last month.
"Stramaccioni has brought enthusiasm," Zanetti said. "It's true that he is younger than me but he is an intelligent person and has very clear ideas.
"I hope this is just the beginning of a wonderful coaching career for him."
Udinese are also in the race to finish third despite Francesco Guidolin's men suffering a drop in form in recent weeks, with just one win collected in their last seven games.
Wednesday's 3-1 loss at Roma dropped Udinese to fourth place, three points clear of Inter and three points adrift of Lazio.
"We are disappointed with our performance against Roma but we have the opportunity to bounce back straight away against Inter," Udinese goalkeeper Daniele Padelli said. "We cannot fail if we are to remain in the race to finish third."
Udinese have lost just once in Serie A at the Friuli stadium this season.
The hosts will be without midfielder Giampiero Pinzi, who serves a one-match ban while defender Mehdi Benatia and striker Floro Flores are out injured.
Inter defender Walter Samuel is suspended while winger Wesley Sneijder is unavailable through injury.
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