The Danish side are hosting the event, with Neman Grodno of Belarus and Polish side Cracovia Krakow making up the group this weekend as silverware is at stake for all four sides.
“We play them in the first game and it’s massively important to get that win,” he said. “Lose it and straight away, it’s out of your hands to try and win it.
“I didn’t play the last time against the Panthers a couple of months ago as I had a small injury. Before the game, we knew we were through the finals, while Nottingham need to get a result and had everything to play for.
“They were 4-0 up at one point and we pushed back, but it was a game that was done after the second period. What we took from it is they’re good with the puck and a skilled team with some skilled players. We have to bring the speed to beat them.”
HIGHLIGHTS: Sønderjyske 2 Nottingham Panthers 4
The 24-year-old is in his second season with the club, after joining from Herlev Eagles and has spent his entire career in his native Denmark.
He spoke of the significance of hosting this final in his homeland and described what it would mean for Sønderjyske to go all the way and win it, if it were to happen.
Bjerrum added: “It’s exciting to play different teams in our arena instead of the usual Danish teams and we had the honour of hosting the previous round too. It was a good event and we’re looking forward to having all the different teams and the sets of fans.
“Playing it in our arena won’t necessarily give us an advantage. These are games like every other, where you have to beat the opponents and we saw in the last round that Nottingham had brought a good crowd with them.”
“I think it’s a different kind of hockey in the Continental Cup compared to the league where a home advantage can make a difference.
“As for the other two teams, we don’t really know what to expect from them, but they will be tough tests. We’ll look at them more as we get closer to the weekend and see them live in their other games, but there are unknown to us right now.
“It would be huge for the club to win this competition and we can feel it from the fans and everyone around Sønderjyske. It’s a big thing when a continental tournament comes to Denmark, it’s exciting.
“It opens up the prospect of reaching the Champions Hockey League too and we’ll do everything we can to try and win it.”
Bjerrum also spoke of his brother, who is enjoying a good season with Zack Fitzgerald’s men this season as well as his experience in the UK.
And the winger hasn’t ruled out the possibility of joining his brother on these shores in the future, given what he’s heard about the Elite League.
He said: “My brother, Rasmus, is really positive about his experience in Glasgow and he loves being there. They’re having a great time and it’s no secret he would love for me to join him over there, but we’ll see.
“You never know in hockey. It’s an exciting league and what he tells about it is positive. I’ve never played outside of Denmark, so one day, that might come and I’m open to anything and coming to the UK could be an exciting adventure as well.”