The former Werder Bremen and Bayern Munich man, who has scored 10 goals for Lazio this term, suffered serious ligament damage last month to leave the Biancocelesti without the focal point of their attack. Klose has also scored 67 goals for Germany.
Nevertheless, Monchengladbach vice-president Rainer Bonhof remains wary of a side that has gone unbeaten in eight European games this season and currently sits third in Serie A.
He told derwesten.de: "Before the game we read everywhere that Klose was Lazio's key player.
"We must not make the mistake of taking the game too lightly just because he is not here."
Keeping a clean sheet is a day-to-day concern for defender Alvaro Dominguez, who won this competition twice with Atletico Madrid before moving to Germany in the summer, and Klose's absence certainly aids his cause.
"Our goal is to not concede," he said. "We need to be aware of when we can take a risk because it is a game in which we need to take very few risks.
"In any case it would be good to finish the first leg leading 1-0 or maybe even just getting a goalless draw."
The Foals have scored at least two goals in their last five Europa League games but director of sport Max Eberl knows Lazio will bring a century-old tradition of miserly football to Borussia-Park.
He told the Westdeutsche Zeitung: "They are a team that thrives on its cohesiveness and compactness. They play in a very Italian style - both tactically and technically.
"Of course we are the outsiders. It's always difficult to play against Italian opponents but we will do our utmost to get a good result and lay the foundations to try and get to the next round."