Real have never won in Dortmund before, having lost three of six matches and drawn the other three. They are under additional pressure after their lacklustre start in the league, lying fifth on 11 points with rivals Barcelona top on 18.
"We are looking forward to playing in the Champions League in a very nice stadium, where you can breathe the Champions League," the Frenchman said.
"It is difficult to play everywhere, but it is true that we have never won here. It is a challenge for us."
The European champions were 3-0 winners against APOEL Nicosia in their group opener, but will need to improve their finishing against their tougher German opponents, Zidane added.
Bundesliga leaders Dortmund, who lost their opening group match at Tottenham Hotspur, have scored 19 goals in six league games, conceding just one. Real have netted 11 times in their six La Liga games, letting in six.
"I hope our strikers will score again," Zidane said. "But I have always maintained that it is the most important thing to create chances.
"We cannot be pleased with the amount of opportunities we have created lately. I believe in my players. But you have to show it every three days that you want to win the game. It is not always working out the way you want it to."