Milan were placed into Group D alongside Austria Vienna, Rijeka and AEK Athens on Friday, having thrashed Shkendija 7-0 on aggregate in their play-off round clash.
While Montella believes his side's fate is in their own hands, he identified each upcoming opponent as a potentially tricky test.
"Our team has opponents to be respected, who shouldn't be underestimated," he told the club's official website.
"AEK Athens were our opponents in the Champions League in 1994-95 and 2006-07 - the precedents are in our favour but it won't be easy to beat them because they have a lot of players who know our league.
"Austria Vienna are a historic club with a very astute coach [Thorsten Fink]. The Croatians, Rijeka, fell just short of reaching the Champions League.
"In the end, it'll all be in our hands. I'm confident."