The French side hold the lead going into Wednesday's last-16 game, and have never lost to the Spanish giants in five meetings in the competition.
"We'll have to play an intelligent game, our own game. We need to put pressure on Real Madrid and I think we'll need to score a goal," Puel told a news conference on Tuesday.
Real have scored 14 goals in the three La Liga matches since the first leg, but Lyon's Argentine midfielder Cesar Delgado was not fazed by the prospect of taking on the likes of Cristiano Ronaldo and Gonzalo Higuain in front of their own fans.
When asked if he thought his side would feel pressured by a 75,000 capacity crowd at the Bernabeu, he replied: "The pressure is on them to win because they are at home.
"This is the kind of game to enjoy, you don't get many chances to play them. It'll be great to be able to tell my children."
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