Such a crucial away goal has led many to believe that Marseille are now firm favourites ahead of the second-leg on March 25th, but a bullish Finnan is more than confident that Liverpool can still win through.
Finnan said: "It was obviously disappointing not to keep a clean sheet and Marseille will be a tough place to go for the second leg. They made it difficult for us at times and got a lot of men behind the ball in the first half. We came out for the second half and played quite well though, and got a goal.
"They didn't have many chances but Drogba took his goal well and it means we have to score out there now but we've already proved away in the UEFA Cup this season that we are capable of doing that.
"Some people will say they are favourites now because they have got an away goal but that doesn't worry us and we are still confident we can go through."
The former Fulham defender is desperate to play his part in earning his side a place in the quarter-finals in his first taste of European football.
He added: "When you go out before the game you can sense a different atmosphere and there's no doubt European nights at Anfield are something special, there's a certain buzz about the place and the support is always great. It's a good feeling.
"Every game is a big one when you get to this stage of the competition and to be playing in the them is one of the reasons I joined this club. A lot of the lads here won this competition in 2001 and it would be great to experience that myself this year."