With their attacking line including Spain internationals David Villa (pictured), David Silva, Juan Mata and Joaquin on sparkling form, Valencia have scored 12 goals in their five matches this year but have won only two of those games.
Their attempts to plug the gaps at the back will be made harder by the absence of keeper Renan after the Brazilian was injured in Sunday's 3-2 defeat at Athletic Bilbao and could be out for several weeks.
"We just haven't been able to kill games off," Villa told Valencia's website on Monday.
"The competition is very important," Villa said.
Palop added: "We are very close to reaching the final stages of the competition so of course we will be focusing all our attention and energy on the match.
"We are not going to give priority to anything, just take each game at a time."
Wednesday's other first leg tie pits struggling Espanyol against city rivals and runaway league leaders Barcelona, while on Thursday, improving Athletic Bilbao host Sporting Gijon and Real Betis play at Real Mallorca.
"We will very much have to be on our guard as they are not going to hand us anything on a plate," the Brazilian international told the club's website. Espanyol's Daniel Jarque said the clash with Barca was coming at a difficult time for the club.
"In any case, a win would give us a lift," the defender said on Espanyol's website. "You always have to find the positive in every situation."
