Much-fancied Belgium have not qualified for a major tournament in more than a decade, but lead European World Cup qualifying group A, albeit only on goal difference from Croatia.
The Belgian camp is not short of confidence after an impressive 4-2 friendly victory over the United States last week and the squad were kept busy taking questions about possible club transfers and Mihajlovic's comment.
"Individually, only Germany and Spain are better than us," was the view of defender Jan Vertonghen.
Coach Marc Wilmots sought to downplay comparisons, saying Croatia, fourth in FIFA's rankings, could say the same thing, with Belgium only 15th.
"Having ambition is good. Germany and Italy go to every World Cup with the goal of reaching the final. That's the right spirit," he said.
With four matches remaining, a victory would guarantee Belgium at least second place in the group and a likely spot in the European play-offs for the World Cup finals in Brazil.
The nine European group winners qualify directly and the eight best runners-up face home-and-away play-offs for the remaining four spots.
Wilmots's principal headache is an injury to centre-back Thomas Vermaelen, who has played in all of Belgium's round of qualifiers.
Bayern Munich's Daniel Van Buyten and Zenit St. Petersburg's Nicolas Lombaerts are obvious replacements, although Vertonghen could shift across and open up a spot for Sebastien Pocognoli at left-back.
A youthful Serbia have only a slim chance of staying in the hunt for a berth in next year's tournament in Brazil and their hopes of upsetting Belgium have been dented by the absence of several key players through injury and suspension.
Winger Zoran Tosic has a broken foot, forward Filip Djuricic is out with a fractured rib, midfielder Milos Ninkovic pulled out with a muscle injury and versatile Manchester City defender Matija Nastasic is suspended.
Mihajlovic will be tempted to start uncapped striker Aleksandar Mitrovic after the 18-year-old's impressive form at Partizan Belgrade, where he scored 15 goals in his first professional season to help the Serbian champions to a record sixth successive league title.
Mihajlovic, however, will also expect better defending than in Serbia's 3-0 rout by Belgium in the reverse fixture, when he criticised captain Branislav Ivanovic for going too far upfield after his team fell behind.
Serbia dominated the start of that match, with Ivanovic telling reporters at their training camp that Serbia should have been 2-0 up after an hour.
"The Belgians enjoyed an emphatic win in the end but they didn't outplay us and we have learned our lessons from the defeat. It's going to be a tough task to beat a talented Belgium in Brussels but we never lose hope," the Chelsea defender said.
