Although the seven-times champions have never lost to United over two legs and have won their last four encounters in Italy, they are especially wary of last seasons's runners-up and in-form striker Wayne Rooney.
"An objective of Milan is to not concede a goal but United are a team that always tries to score," the Brazilian rookie coach told a news conference.
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"Milan have to try to find a balance between not conceding and trying to do some damage. The two teams know each other well."
Despite Leonardo's caution, the days of the Rossoneri shutting up shop and settling for 1-0 wins are long gone.
The defence is more error-prone than the past while an expected front three of Ronaldinho, Klaas Jan Huntelaar and Alexandre Pato go on the attack at every opportunity.
"Milan are an expert team that have won lots and this year we have been able to play pretty football, with great technical quality," added Leonardo, whose side are third in Serie A.
The match will be especially important for on-loan Milan midfielder David Beckham, who won the 1999 Champions League under Alex Ferguson at United before leaving in 2003.
"Compared to seven years ago, I have more experience today both as a person and as a player. To play at different clubs always brings more experience," said the 34-year-old former Real Madrid player, who is not assured of a start on Tuesday.
"During my time in Manchester there were ups and downs but for me Ferguson was like a father."
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