"Tomorrow may seem like an easy game, but only in appearance," Allegri told a news conference in Italy before flying to London with his team. "In reality it is not. We must have great concentration, we must not underestimate the game."
Allegri said Zlatan Ibrahimovic, who scored the fourth goal against Arsenal in the San Siro last month and bagged a hat-trick in a 4-0 win over Palermo on Saturday, was playing as well as any striker in Europe.
"Along with Lionel Messi and Cristiano Ronaldo, the three of them are at this moment the best players in the world," he said.
Arsenal manager Arsene Wenger would be unlikely to swap Robin van Persie for anyone, including Ibrahimovic, after the Dutchman's 31 goals in all competitions this season.
Wenger said there is no chance that he could rest the striker against Milan, despite the odds being stacked heavily against Arsenal overturning the first-leg deficit.
"I would not be very credible to tell you we want to score five goals and then leave Robin van Persie out," Wenger said at a news conference on Monday.
"We will not accept going out of the Champions League because we want to stay in. We will give it our best shot tomorrow.
"It is important we have a strong belief and that we show we have enough belief to make what looks impossible, possible.
"We know that only one thing gives us a chance, and that is to play a top-class performance for 90 minutes. That is what we will try to put in.
"The task is a very high one, the level of the performance that is demanded is very high as well, but we want to be top-level performers and that is what the target is tomorrow."
Tomas Rosicky and Mikel Arteta are both doubtful for Tuesday's clash, as is Yossi Benayoun.
Milan have included midfielders Alberto Aquilani and Urby Emanuelson in their squad with Massimo Ambrosini suspended.
Maxi Lopez, Alessandro Nesta, Alexandre Pato and Antonio Cassano are all still out.
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