The Italians need to beat Swiss champions FC Zurich away in Group C to qualify for the knockout stage without having to depend on the result of the Olympique Marseille-Real Madrid tie.
Milan are second in the group with eight points, two behind Madrid and one ahead of the French side. Zurich have already been eliminated although their only win so far was away to Milan.
Milan got rave reviews after beating Sampdoria 3-0 at the weekend to slash Inter Milan's Serie A lead to four points.
"This is a very mature squad, there's enthusiasm but no euphoria," Leonardo told a media conference.
"I have no worries about the way the team is going to behave," added the Brazilian, who has survived a torrid start to his first coaching experience earlier this season.
"We have to keep our concentration and keep playing for 90 minutes. Our objective is the win which gives us the qualification."
"The important thing is that we just depend on ourselves."
Milan, who said they are optimistic that Ronaldinho will be able to play, could still qualify if they draw or lose but would then depend on Marseille not getting a better result than themselves.
Ronaldinho went off with a hamstring problem against Sampdoria.
Zurich coach Bernard Challandes, whose team have conceded 13 goals in five games and lost to local rivals Grasshoppers at the weekend, denied his players would be short of motivation.
"With or without the chance of qualifying, this is a match against AC Milan in the Champions League," said Challandes.
"Any Swiss player who needs motivation to play against Milan should go and do something else.
"We need to play a really good game, then we can say that we had a good Champions League even though we didn't qualify."
