Bilbao currently top Europa League Group L after picking up nine points from their first four games, while Augsburg sit in second just three points back.
A draw on Thursday night will be enough for the Spanish side to reach the knockout stages, but Valverde is adamant that they cannot afford to sit back and just hope to scrape through.
He told AS: "We have to think that we have to win the game. Our first objective is to qualify. The second is to be first in the group.
"A defeat could punish us. We know they're strong and they played very well at San Mames. Neither team has changed much since then. They're in a difficult situation but they got a good result.
"We're more comfortable but this is another competition. We expect to play a good team. Finishing first is relatively important. It's a random draw. We should be first if we can be, to have better options."