And if Bayern can somehow bend their own minds to believe the same about themselves, they might be able to do what no team has done in the last 35 months: knock Real Madrid out of Europe.
"With Gareth I have no problem, he's a fundamental player for us and very important", Zidane said after Real's win over PSG in the last 16. [Dani] Carvajal, for example, he already amazed me when I saw him at Leverkusen, but in Madrid even more so. I like how Real play under him and how calm he is on the side-lines.
James joined Madrid after impressing with Colombia at the 2014 World Cup and he initially adapted well at the Santiago Bernabeu, scoring 13 goals in his first La Liga campaign.
However, Zidane's appointment as Madrid coach in January 2016 set him back as the Frenchman gave him limited opportunities and often left him on the bench.
"James will be motivated as he is a footballer and will want to do well, but not to show anything to me or anything like that".
Ronaldo, who has inspired Real to success in the competition in three of the last four years, is aiming to lift the trophy for the third successive season.
Los Blancos will take on Bayern at the Allianz Arena in the first leg of their European Cup semi-final on Wednesday night.
Kroos began in Bayern's youth set-up as a teenager and was the youngest player to make his debut for the club when the German played aged 17.
"We will need a big performance against a strong opponent", Madrid coach Zinedine Zidane said ahead of Wednesday's first leg in Munich. We know every match is different, just as every season is different.
"This is a team which has been fighting at this level for a long time, it's in the DNA of this club. I have no doubts that mentally we will be at 150 per cent".
Real Madrid have won the European Cup/Champions League a record 12 times and are attempting to emulate the great Ajax and Bayern Munich sides of the 1970s by winning it for a third year in a row.
The Germans finished both legs with 10 men.
JUPP HEYNCKES HAS revealed how he had to put an arm around James Rodriguez because he was "a little depressed", after leaving Real Madrid for Bayern Munich.
Bayern are better than last season, warns Real's ZidaneReal Madrid coach ZinedineZidane warned yesterday Bayern Munich are better than they were last season when the Spaniards beat them en route to the Champions League title.
But he also says they are both very similar in stature.
"Bayern have shown very little of the fluidity and out-of-this-world football we've become accustomed to in this spell but they've nearly become the Bayern of old - they somehow find a way of winning games".
Real will ease the pain by retaining their Champions League title, their only hope of salvaging a disappointing season, according to Reuters.
Though, they have not been impressive in the domestic league this season, another UEFA top tier title will ensure they wrap up their season on a high.
"We haven't taken the easiest route this year with Paris Saint-Germain, Juventus and now Bayern, but we are on the verge of the final".
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