Under Manuel Pellegrini last season Real lost 1-0 away to Olympique Lyon in the last 16 of the competition, the lack of an away goal costing them dear when they drew 1-1 at home to go out at the same stage for the sixth season in a row.
Mourinho won the European Cup with Inter Milan last May and has been recruited to improve Real's performances in a competition they are trying to win for a tenth time.
He is still in the early stages of construction with his new charges and already has his defence tightly locked. They have only conceded once in six outings, but goals have been hard to come by.
Their humbling 0-0 draw at promoted Levante in La Liga on Saturday had Mourinho scratching his head.
"It isn't that we lack quality because we all know we have proven goalscorers, but at present they aren't scoring," he told reporters. "This is my only worry."
Cristano Ronaldo, Angel Di Maria and Gonzalo Higuain all missed gilt-edged chances against Levante, and a general sense of anxiety pervades with their ever-impatient fans getting on their backs.
ON RIGHT TRACK
Defender Alvaro Arbeloa told a news conference on Sunday: "It would be absurd to doubt the forwards, although it is true that in some games we haven't had the necessary precision in front of goal.
"This club is like a new project every year. It might sound like an excuse, but what we need is time. We are on the right track."
A positive, however, is that Real produced probably their best performance so far this season when they beat Ajax 2-0 in their Group G opener two weeks ago.
Auxerre are hardly in intimidating form. They lost their opening group match 2-0 at AC Milan and squandered a two-goal lead at home to Nancy in Ligue 1 on Saturday. A 2-2 draw left them down near the foot of the standings after seven matches.
"I am upset, frustrated and a bit worried after what I saw tonight. When you lead 2-0 after 10 minutes you normally assume you've done the hardest part," said coach Jean Fernandez.
"If we play like this on Tuesday it is going to be very, very difficult."
Auxerre should welcome back Poland striker Ireneusz Jelen, who sat out the Nancy game because of knee pains.
Probable teams:
Auxerre: 1-Olivier Sorin; 2-Cedric Hengbart, 6-Adama Coulibaly, 12-Jean-Pascal Mignot, 4-Stephane Grichting; 14-Dennis Oliech, 17-Benoit Pedretti, 29-Delvin Ndinga, 9-Valter Birsa; 21-Steeven Langil, 22-Ireneusz Jelen.
Real Madrid: 1-Iker Casillas; 4-Sergio Ramos, 3-Pepe, 2-Ricardo Carvalho, 12-Marcelo; 14-Xabi Alonso, 24-Sami Khedira; 7-Cristiano Ronaldo, 23-Mesut Ozil, 22-Angel Di Maria; 20-Gonzalo Higuain.
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