City return to the Champions League with a mouth-watering trip to the Bernabeu Stadium to face the Spanish champions on Tuesday.
City's historic credentials pale in comparison to those of their illustrious opponents but Mancini sees no reason why the reigning Barclays Premier League champions should be cowed by the nine-time European title-winners.
The Italian said: "Our mentality is not to go there - to Madrid or anywhere - for a draw, or to lose. We want to win always.
"But we know it will be a tough game. We play against one of the best teams in the world, but we want to do our job well.
"I think it will be a fantastic game, and a fantastic for moment for everyone at the club.
"But when you play Champions League, every team is a top team, every game is difficult.
"If you play against Real or Barca, you are up against 100 years of history, they won everything.
"For this reason, I also think it will be difficult."
Real's chief threat is former Manchester United star Cristiano Ronaldo, who scored a remarkable 60 goals last season.
Yet Mancini is wary of focusing too much on the £80million man.
He said: "Real Madrid don't have only Ronaldo. Ronaldo is, with (Lionel) Messi, the best player in the world but they have 15, 16, 18 players at the top."
City failed to progress beyond the group stage in their maiden Champions League campaign last year despite accumulating 10 points with some respectable performances.
Yet after facing Bayern Munich, Napoli and Villarreal in 2011-12, the task is even tougher this time with two other domestic champions in Ajax and Borussia Dortmund also in Group D.
Mancini said: "We start again on a difficult pitch against a top team, and we should be ready for it to be very difficult, because they have fantastic players, fantastic history.
"But we have 23 or 24 players, players with experience, having played Champions League, they know this atmosphere. For all our players, this is good experience.
"After the group stage, if we have got the same points as last year, I think we go will through this time."
Mancini has played down the significance of his own personal battle with Real counterpart Jose Mourinho, one of the world's great managers and, like him, a former Inter Milan boss.
Mancini said: "He is a good manager, like all the other managers. When I see him I will say hello."
Last season's top scorer Sergio Aguero is to travel with City in the hope of proving his fitness after a month out with a knee injury.
Mancini said: "We didn't want to take any risks on Saturday but maybe for Madrid he will be ready."