The Dutch side travel to Italy after a 1-1 draw in the first leg, which came thanks to a second-half equaliser from Slovenian forward Tim Matavz.
With a place in the group stages of the Champions League up for grabs, the stakes will be high at San Siro, but Cocu welcomes the pressure.
And he feels his side have what it takes to upset the Serie A giants, who have won the Champions League on seven occasions, in order to reach the next stage of the competition.
Cocu said: "We played a good game in Eindhoven and are confident we can also do well in Milan's stadium.
"It is a wonderful moment for me as well as the team, as being able to measure yourself up against a side like Milan is great.
"This brings tension, but it is a positive tension, a sensation you need in football. My job is also to help my players to experience and use this pressure."
Cocu is unsure as to how Milan will line up for the crucial fixture, but knows Massimiliano Allegri will put out a strong side regardless.
But he has taken encouragement from Milan's sloppy start to the Serie A season, which saw them slump to a 2-1 defeat at the newly promoted Hellas Verona on Saturday.
"We are prepared for anything," he added.
"I don't know how Milan will approach the game, whether they will defend or attack. In such an important match with so much at stake, anything could happen.
"Milan have the luxury of being able to choose between great players.
"We have to step on to the field knowing we must control these players. Did we see Milan's defeat to Verona? Yes, we watched it."
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