Essendon's Brendon Goddard says the Bombers are confident of downing Sydney at the SCG.
The Swans are the form team of the competition having won 14 of their past 16 matches.
However, Essendon almost beat Sydney earlier this season before an after-the-siren goal secured the Swans a one-point win.
Goddard said that result would provide a boost on Saturday.
"We'll take some confidence out of our last performance up there," Goddard told Melbourne radio station RSN927.
"I don't buy into the theory of nothing to lose, because we do, it's a final, we've got something to lose.
"We're not daunted by it whatsoever, we're excited by the challenge to go up there.
"You can't pick and choose in finals.
"It's a matter of anywhere, anytime, any place."
Goddard said finals was a totally separate competition.
"We all know finals is a different beast," he said.
"When you do have the top eight teams, the game tends to look different too.
"Not one team is willing to budge and it's a really tight contest, a lot of the time it's low scoring, contested, as we all know."