Penney's side will arrive in France for the match on the back of a disappointing RaboDirect PRO12 defeat to Newport Gwent Dragons but prior to facing Quins, they had suffered an emphatic loss at the hands of Glasgow Warriors.
And while Penney was full of praise for the strength in depth at Clermont's disposal, he's adamant Munster can spring a surprise.
"There's no doubt Clermont are roaring hot favourites and we're underdogs," Penney told the Irish Times.
"You can either thrive under that tag or wilt away. The best teams should be in the Heineken Cup at this stage and Clermont are certainly in that bracket.
"They've got real depth. We were going through their substitutes and you would be just wrapped to have them. They have an All Black 9, 10, 12 and 13 on the bench and Sitiveni (Sivivatu) starts on the wing.
"But we still have a lot of expectation from the Munster public and supporters, it's a double-edged sword.
"I don't want to say we believe we will beat them but we are going to go over there and give it a good crack.
"A game of rugby is such a dynamic one that on any given day an underdog can pull it off. It's 15 versus 15, we have a great referee in Nigel Owens and we just have to make sure we prepare well and perform."
Guinness PRO12 Munster News
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