Asked about their approach, Merino said on Cadena SER: "The possible comeback? They've already done it, right? We'll go there with the mentality that it's an open match.
"We'll go there with the mentality of winning. In football we've seen very difficult things, that's why we have absolute respect not only for Real Madrid, but for any team we face. We'll show up in our best form and with all the desire to win."
He also said: "The priority is to be faithful to our style of play, we must remain the team that has allowed us to get to this point. We have foundations, principles, a way of playing and understanding football that we must follow, which is what this team has done all season.
"We have a lot of respect for all our rivals, including Real Madrid, but that doesn't mean we won't try to move forward with our mentality."
Meanwhile, Merino also had a word for teammate Declan Rice, who struck two direct free-kicks for an impressive brace in the first-leg win in London.
He added, "The truth is that it was a unique moment, especially for him. For the opponent, for the importance of the match. He is a player who is made for big matches and, when we needed it, he came to our aid. We are very happy for him."