The sides will contest a last-16 tie at Princess Magogo Stadium in KwaMashu on Sunday, with Davids wanting the match at Harry Gwala Stadium.
“It’s like Inter Milan and AC Milan taking their game to, I don’t know, Rome," Davids told his club's website.
“It doesn’t make sense for the fans. Yes, they want the advantage, that’s okay, but like I said before I would rather lose 4-3 at Harry Gwala and give the fans an entertaining match than win 5-0 in Durban.
“It’s about the fans having the derby to watch in their own backyard. But now it’s not a derby because we are playing in Durban. Okay Eagles might be a Durban-based team, but they play their matches at Harry Gwala. But we must continue with the fixture.”
Davids has kept a keen eye on their neighbours' progress this season.
Eagles, in 11th place on the second-tier table, have won two league games and drawn one since Sikhakhane replaced Serbian tactician Kosta Papic in February.
"It’s difficult, teams coming from the NFD, they up their game, they go all out, play above themselves,” said Davids, whose side are fourth in the Premiership standings with seven games left.
“So we have to approach it like a PSL game. At the start of the season Eagles assembled a squad strong enough to win promotion, and they have a strong enough squad to win promotion, that’s for sure. They are in form, winning two matches in a row.
“Roger Sikhakhane has come in as coach and we are definitely in for a tough game. He’s transformed them. We see them every week here at Harry Gwala, they’re a transformed team under the new coach.
“Getting to the next round is the most important thing. Form goes out the window when you play in the cup, you have to approach it really structured to get to the next round. So it's not really about your form, it’s a must-win situation.”