Even though the Dubliners have already notched a league double over the Welsh region this season, Cheika believes they could be a huge banana skin in what will be his final game in charge of Leinster.
"The two wins over them in the regular season don't count now. We have a lot of respect for them and they have come and taken us on over here in Dublin in the past and got very, very close," said Cheika.
"They are absolute quality, have experience of winning this title in the past and they are going to come to Dublin hungry. They are going to back themselves to beat us.
"We are going to have to get ready to go up another level from the semi-final because that is going to be needed. This is going to be the most difficult match of the season."
Cheika clearly isn't taking the Ospreys' challenge lightly and that's hardly surprising given the depth of talent in Scott Johnson's squad.
With the likes of Lee Byrne, Shane Williams, Tommy Bowe, James Hook, Jerry Collins and Mike Phillips in their side, the Ospreys can call upon a host of proven match winners for what should be a thrilling season finale in the Irish capital.
"The Ospreys have got quality attacking players all over the park," added Cheika, who will take over the reigns at Parisian giants Stade Francais next season.
"They have really shown a lot of ambition in the way they play the game and have a very experienced back row.
"They were unlucky not to win their Heineken Cup quarter-final and really should have been in the semi-finals. And, who knows, they could even have been in the final.
"We want to make our supporters proud of us and that means we are going to give it everything in our last game."
Leinster won the Magners League title in 2008, the Heineken Cup in 2009 and are now looking to make it three titles in three seasons as they aim to give their coach the perfect send off.
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