Warriors have won all six of their PRO14 matches so far this season while Exeter are second top of the Premiership.
"We're probably operating at about 60% at the moment," said the New Zealander.
"There's a lot more in us. We're going to have to be better."
Rennie's side, who make two changes for the trip to Sandy Park, will also face Leinster and Montpellier in Pool 3.
"We've had a good build-up over the last six weeks," Rennie told BBC Scotland
"The thing I've liked about what I've seen so far is even when we haven't been at our best, we've found a way to win.
"Exeter are an impressive side. They've made massive shifts as a club in the last four, five years. They've got a rare ability to look after the ball for long periods and they get a wall in front of you defensively so there's a few challenges there.
"That's the great thing about this competition, you get to test yourself against the best sides in Europe. If you've got aspirations of doing well in it, you've got to roll the big teams.
"It's a tough pool, but exciting. It's important to start well. We've got the best possible side on the field."
Full-back Stuart Hogg is nearing a return after the facial injury picked up during the British and Irish Lions' summer tour of New Zealand and also having shoulder surgery.
"We're pretty confident he'll be available next week," added Rennie.
"We could've maybe pushed it but it's a long season ahead, we want to make sure we get that right."