Both teams have enjoyed excellent starts to their respective domestic seasons and should be full of confidence ahead of Tuesday's fixture in Lisbon.
Benfica have collected 10 points from four Primeira Liga games and sit level on points with three other teams at the summit of Portugal's top flight.
Andre Villas-Boas' Zenit, meanwhile, have enjoyed an even more impressive run of results, winning their first seven Russian Premier League fixtures.
However, attacking midfielder Danny is well aware that Benfica will provide Zenit's biggest test of the campaign to date.
He said: "We will play in front of their fans and we are aware that it will be difficult but we have to play everywhere with the same mentality and the same quality that we are presenting. We cannot be afraid of anything; we just have to play like we know.
"We are excited, of course, but Benfica are also, having made a good game against Vitoria Setubal with an excellent result [a 5-0 away win].
"We're also a very strong team; we play our game and do the best we can to win."
Bayer Leverkusen and Monaco represent the other opposition in a seemingly tricky group, so an early victory would represent a welcome boost for Zenit or Benfica.
Zenit's Portuguese head coach Villas-Boas will be familiar with his side's first opponents, having previously taken charge of Porto and Academica in his homeland.
Villas-Boas' men, who will be without Viktor Fayzulin through suspension, had to come through qualifying to reach this stage, overcoming Limassol and Standard Liege.
Benfica, also missing a banned player in Andre Almeida, have not progressed beyond the group phase in the last two years, although they have gone on to reach the Europa League final in both campaigns.
They were beaten 2-1 by Chelsea in 2013 before falling on penalties against Sevilla last season following a goalless draw.
Zenit and Benfica met in the last 16 of the Champions League in 2011/12.
It was the latter who progressed, turning around a 3-2 away defeat by winning 2-0 at home to seal a 4-3 aggregate success.
