The Nottingham Forest midfielder has pointed to Swansea City's excellent home form as a reason for this resognising as well that the Swans play the best football in the Championship.
Speaking to the Nottingham Evening Post, McKenna said "They have quality all over the pitch and, as we know, they are strong at home,
"But that just means that we have to give a good account of ourselves at our place. The first tie will be critical.
"We need to put ourselves in a position where we are in with a good fighting chance in the second leg. We beat them at our place. We have competed with everyone we have played at home this season.
"We just want to concentrate on ourselves and go into it in positive fashion. We have been in good form in recent weeks and we can believe in ourselves.
"They are going to be tough games. They have probably played the best football in the Championship this season and we know we are going to be up against it, because they have been brilliant at home.
"But we go into it on the back of a few wins ourselves and hopefully we can continue that momentum.
"We just want to get back on the training ground and get ourselves prepared for Thursday night.
"Our first step is to try to get to Wembley, we are not going to think of anything else," he said. "There will be no thoughts of the Premier League yet, the gaffer would not allow that.
"So many teams fall at the first hurdle in the play-offs, as we found out ourselves last year.
"We want to learn from that and, hopefully, go one step further.
"We do have a point to prove from last year. We want to turn that negative into a positive.
"We have learned from what happened last year. Now the chance has come around again and hopefully we will be a little more composed.
"We knew that we could end up with egg on our faces, but we came here and did a really professional job," he said.
"It is nice to be in the play-offs for definite now and we can look to two good games against a good footballing side."