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Depending on the other group game between Porto and Besiktas, a draw would send either Liverpool or Marseille to the last 16 phase.
The Dutchman, who was part of the Reds' squad who finished runner-up last year, said that although his side could go through with a draw, it is still too risky.
"We'll approach this game as one we must win. A draw might not be enough," Zenden told BBC Sport.
The former Barcelona winger backed his team as the game's favorites after a 2-0 morale-boosting Ligue1 victory over rivals Monaco at the weekend.
"In a way we're favorites as we're at home and we have our fans behind us," he added.
"The win against Monaco should also improve our confidence and get our fans behind us."
Gerets Effect
Zenden praised the tactics of manager Eric Gerets, who had a dream start with L'OM when he caused a huge upset beating Liverpool 1-0 at Anfield in the first game in October.
"Eric Gerets is very much about organization and discipline and slowly we've started to get the results we wanted," added Zenden.
"That's the biggest thing he has done since arriving - get us playing as a team.
"If you go out and do your own thing you'll end up in trouble, so Gerets has been focusing on team performance and collective play to make it more difficult for the opposition to score."
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