Pirates travel to Lubumbashi with a two-goal lead after winning 3-1 in the first-leg and the former Nigerian international certainly believes Mazembe are not invincible, even in their own home ground.
"Going to Mazembe, the number one thing we will have to get right is our attitude," he tells the Pirates site.
"The match will be different because we scored three goals against them and they will desperately try to overturn our lead – we know that… so we will have to forget that we are leading and play as if it is a brand new game.
"We have to go look for that goal that will destroy them – scoring there first or at least scoring a goal, will keep them always in the back foot and we will just have to manage the game well. We can win there; but we will have to play above our weight and show that we are hungrier than Mazembe," he adds.
Okonkwo is a two-time CAF Champions League winner with Nigerian side Enyimba.