Athletic are rated the likely winners ahead of the clash.
But Valverde said: "In a final you can't talk about outsiders or favourites. The match is open and Mallorca have as much chance as us, both teams deserve to be in the final. We have to fight for it on the pitch.
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"We are good, happy to be here. Since the beginning of the season we have been dreaming of this. We want to be on this pitch and play this final.
"The responsibility we have is to win, not only to please our fans, but also to represent a club, ours, that always wants to win."