The Rossoneri have hit a rocky patch of late, having lost three out of their last five fixtures in all competitions.
Pioli will hope his side can come away with a comfortable win, as AC Milan face their biggest rivals Inter Milan in a top-of-the-table clash in Serie A on Sunday.
Dejan Stankovic's side are one of the most in-form teams in Europe at the moment.
Red Star Belgrade's solitary loss this season came in the Europa League against Hoffenheim back in October. However, the Crveno-beli have been near perfect since then, winning 12 of their last 15 matches in all competitions. They drew the other three.
Stankovic, however, will be worried about his side's form in the Europa League.
Red Star finished second in their group, having drawn two and lost one of their group stage fixtures. AC Milan, however, topped their group and are one of the favorites to go on and win the whole competition.
Red Star Belgrade vs AC Milan Head-to-Head
The last time these two sides met was in the 1988-89 European Cup. At the time, AC Milan got the better of Red Star Belgrade on penalties following 1-1 draws in both legs of the tie.
The two sides also met in the UEFA Champions League qualifiers in the 2006-07 season. AC Milan won both legs of the tie and qualified for the group stages of the competition.
Red Star Belgrade Form Guide: D-W-W-W-W
AC Milan Form Guide: L-L-W-W-L
Red Star Belgrade vs AC Milan Team News
Red Star Belgrade
Stankovic will be without Veljko Nikolic for the game after the midfielder picked up an ankle knock last week. Aleksandar Katai is still out with an adductor injury he picked up in November.
Injured: Veljko Nikolic, Aleksandar Katai
We expect Stefano Pioli to make a host of changes to his side for the game on Thursday. This is due to the crunch match against Inter Milan in Serie A this weekend.
Milan will be without Brahim Diaz for the game against Red Star, as the winger has not yet recovered from a hamstring injury.
Ante Rebic is back from a knee injury, but the game against Red Star might come too soon for the striker
Injured: Brahim Diaz
Doubtful: Ante Rebic
Red Star Belgrade vs AC Milan Predicted XI
Red Star Belgrade Predicted XI (3-5-2): Milan Borjan; Milos Degenek, Nemanja Milunovic, Milan Rodic; Mirko Ivanic, Njegos Petrovic, Sekou Junior Sanogo, Guelor Kanga, Milan Gajic; Diego Falcinelli, Ben Nabouhane
AC Milan Predicted XI (4-2-3-1): Ciprian Tatarusanu; Theo Hernandez, Pierre Kalulu, Fikayo Tomori, Diogo Dalot; Sandro Tonali, Soualiho Meite; Jens Petter Hauge, Rafael Leao, Samu Castillejo; Mario Mandzukic
Red Star Belgrade vs AC Milan Prediction
AC Milan clearly have the better squad at their disposal. However, with so many changes to the lineup, Stefano Pioli's side might have a hard time breaking down Red Star Belgrade.
That being said, we predict the Rossoneri will have enough to edge past Dejan Stankovic's side on Thursday.
Prediction: Red Star Belgrade 0-1 AC Milan