A victory would be the club's first-ever win in Milan after 14 previous attempts. Eleven of those were Champions League matches, eight of which Real lost and three of which they drew.
When Bale played for Tottenham, Inter Milan beat the London club 4-3 in a 2010 Champions League match. But he remembers that visit fondly - he scored all three Spurs goals.
"I don't know about Real Madrid's history at the San Siro, but it's not important, the club's history in that stadium, as it's in the past," Bale said to Marca newspaper. "I have fond memories of the San Siro. It's a good one for me."
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It was at San Siro that Real suffered their worst defeat in the Champions League's European Cup competition - a 5-0 loss against Arrigo Sacchi's AC Milan on April 19, 1989.
No Real player has played as part of a visiting side and won at the San Siro. Luka Modric was on the bench when his former club, Tottenham, won 1-0 at AC Milan in the Champions League in February 2011. Injury kept Bale from featuring in that game.
But Real captain Sergio Ramos is confident his team will give the club the San Siro victory that has proved so elusive.
"I enjoy playing in great venues, and Saturday's is unique," he told Marca. "I admire the San Siro because one of my idols, Paolo Maldini, played there."
Real's all-time top scorer, Cristiano Ronaldo, has not won or scored at the stadium on three previous attempts, twice as a Manchester United player and once with Real.
"We have to think positive," Ronaldo said to La Sexta TV. "We will win the Champions League."
(Editing by Larry King)
