The Wanderers, in only their third season of existence, take a 1-0 first-leg lead to the Saudi Arabian capital as they attempt to become the first Australian side to win the Asian showpiece at King Fahd Stadium next Saturday.
Al Hilal's Romanian coach Laurentiu Reghecampf has warned that the Riyadh game will be difficult for the Wanderers before an expected 65,000 fans.
"We're not going to be intimidated," Covic told reporters before the team's departure on Tuesday.
"We're not going to care what they're going to throw at us.
"We were in China with 50,000-odd people throwing bottles and yelling at us. We couldn't even walk off the field without security coming to get us, so that's not going to faze us.
"They can do what they want. We're going there with the mindset that something probably will happen.
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"(But) if they're thinking of throwing any tricks, they're going to be doing it to the wrong team."
Covic was referring to the Wanderers' ACL quarter-final leg against Guangzhou Evergrande in China. There were reports of fan attempts to disrupt the team heading to the ground, a suspicious bus crash and evidence of laser pointers being shone into players' faces during training and the match.
"It was a very, very suss team bus crash. The boys were looking at each other going, 'All right, this is what you've got for us'," Covic recalled.
"It really fired us up more than anything. That's the nature of our team.
"Throw anything at us and we'll come back at you twice as hard.
"We're going to be disciplined on the field and do everything we can do to win the game."
The Wanderers are attempting to go one better than Adelaide United, who lost the two-leg AFC Champions League final to Japan's Gamba Osaka in 2008.