The defending champions will entertain Celtic at FNB Stadium after the first leg ended in a 1-1 draw at Free State Stadium.
"Teams know what will happen when they visit FNB,” Khune is quoted as saying on his club's website.
“We played Celtic away and we recovered after they scored early in the game.”
Khune is determined to keep a clean sheet at Soccer City.
“Last season we didn’t concede goals at this stage of the competition. We can improve on that and we will start to keep clean sheets from this Saturday.”
He added: “We are in this together and as a team we have a responsibility to keep clean sheets. It is a work in progress.”
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