Royals had beaten formidable Chennai by eight wickets when they met last on April 19 in Ahmedabad.
"We go into every game to win it. We played our best game of the tournament the last time we played them. They'll be hungry to turn it around and we know it will be tough to beat them here, especially after their loss in the last game," the Kiwi paceman said.
Bowling has been a worry for them but Southee belives that things will change for better.
"We didn't bowl too well in the last couple of games but we've shown in the tournament that we can bowl well. The guys are working on things and hopefully we can turn it around."
Asked about the challenge of bowling to man-in-form and the skipper of his national team, Brendon McCullum, Southee was not perturbed.
"Bowling to McCullum will be a nice challenge. He is playing really well and seems to be in a hurry. It will be nice to get one above him. They've got a lot of dangerous guys in their side and we know it will be a tough game," he said.
"I've bowled a lot to Brendon in the nets. He plays the same way as he does in a match. Let's see what happens if we do come across each other."
Southee himself is foreign recruit but said Rajasthan Royals are not much dependent on the players from abroad.
"We've got a lot of young Indian players who have come through. Stuart Binny, Ajinkya Rahane and Dhawal Kulkarni have been with the Indian team so we have a good mix. We don't rely too much on the overseas players, which is a good thing," he said.

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