The French outfit have come all the way from last July's qualifying rounds while Atletico entered the competition in the last 32 in February after finishing third in their pool in the group stages of the Champions League.
They have also been in two Champions League finals within the last five years.
"We know that Atletico have the experience," said Marseille coach Rudi Garcia. "But we have experienced players too, players who have played in and won European finals, the Champions League in the case of Luiz Gustavo. We want to enjoy the moment, let our hair down."
The winner of Wednesday night's final will qualify for the group stages of next season's Champions League. Should they lose the final in Lyon, Atletico will be guaranteed a place in next season's competition courtesy of their second of third placed finish in La Liga.
Marseille need victory to play among Europe's elite next season.
They are fourth in Ligue 1 ahead of the season's final game on Saturday night. Garcia's men could at best finish third.
But to do that they will have to beat Amiens at the Velodrome and hope that Lyon draw or lose at home to Nice.
Atletico boss Diego Simeone, who has steered the side since 2011, played down his side's supposed advantage in the final.
"It is never good to make comparisons," said the 48-year-old Argentine. "The Champions League is one thing and the Europa League another. Experience is an important factor although it won't completely influence the game."
More about: UEFA