Valencia trail Arsenal 3-1 in the tie after losing last week's semi-final first leg in London and need a 2-0 win or better to reach their first European showpiece since they won the UEFA Cup in 2004 under Rafael Benitez.
They will need to win by three goals to progress if Arsenal score twice, but the coach said his players can learn from Liverpool's 4-0 win over Barcelona in Tuesday's semi-final second leg at Anfield after losing the first leg 3-0.
"Last night's game demonstrates that anything can happen, it's a lesson that tells us that if we play to our maximum we'll have the chance to make it to the final," Marcelino told a news conference ahead of Thursday's second leg at Mestalla.
"Every game is different and just because Liverpool beat Barcelona it doesn't mean we have to knock out Arsenal, but if we do pull it off it's because we believed we could be in the final."
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Valencia took the lead in last week's game at the Emirates Stadium, but conceded three times due to sloppy defending and Marcelino urged his side to make no such mistakes at Mestalla, and called on the home fans to play their role.
"We are facing top-level players who have already shown us that they take advantage of any slip up, so the objective is not to make any more errors that we don't usually make," he added.
"It's beyond doubt that we'll have a better chance if Mestalla supports us from the start. We're going to go through difficult moments and we're going to need them.
"We're going into the game with the belief we can beat Arsenal, the players have transmitted that to me and I am convinced we have a chance."
(Reporting by Richard Martin; Editing by Toby Davis)
